The asymptotic efficiency of largest claims reinsurance treaties

Kremer, Erhard

doi:10.1016/0167-6687(93)91025-p

Cited by 2 publications

(2 citation statements)

References 10 publications

(17 reference statements)

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“…Finally, Kremer [18] gives crude upper bounds for the net premium under a Pareto claim size distribution. The asymptotic efficiency of the LCR treaty is discussed in Kremer [19].…”

Section: Introductionmentioning

confidence: 99%

Reinsurance of large claims

Ladoucette

Teugels²

2006

Journal of Computational and Applied Mathematics

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“…Finally, Kremer [18] gives crude upper bounds for the net premium under a Pareto claim size distribution. The asymptotic efficiency of the LCR treaty is discussed in Kremer [19].…”

Section: Introductionmentioning

confidence: 99%

Reinsurance of large claims

Ladoucette

Teugels²

2006

Journal of Computational and Applied Mathematics

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“…A series of approximate premium calculations for LCR treaties has been made in the literature; see, for example, [15,16], and [17][18][19][20], and their references.…”

Section: Reinsurance Premium and Dividend Adjustmentmentioning

confidence: 99%

The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation

Fan

Griffin

Maller

et al. 2017

Risks

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Abstract:We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primary insurer's point of view is documented in terms of assessment of risk and payment of reinsurance premium. A utility indifference rationale based on the expected future dividend stream is used to value the company with and without reinsurance. Assuming the classical compound Poisson risk model with choices of claim size distributions (classified as heavy, medium and light-tailed cases), simulations are used to illustrate the impact of the EOL and LCR treaties on the company's ruin probability, ruin time and value as determined by the dividend discounting model. We find that LCR is at least as effective as EOL in averting ruin in comparable finite time horizon settings. In instances where the ruin probability for LCR is smaller than for EOL, the dividend discount model shows that the cedant is able to pay a larger portion of the dividend for LCR reinsurance than for EOL while still maintaining company value. Both methods reduce risk considerably as compared with no reinsurance, in a variety of situations, as measured by the standard deviation of the company value. A further interesting finding is that heaviness of tails alone is not necessarily the decisive factor in the possible ruin of a company; small and moderate sized claims can also play a significant role in this.

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The asymptotic efficiency of largest claims reinsurance treaties

Cited by 2 publications

References 10 publications

Reinsurance of large claims

Reinsurance of large claims

The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation

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