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The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio

Die Auswirkung einer Schadenexzedenten-Rückversicherung mit Wiederauffüllung auf das Portefeuille eines Zedenten

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Blätter der DGVFM

Zusammenfassung

Der Anpassungskoeffizient für das Risiko im Eigenbehalt nach Schadenexzedenten-Rückversicherung mit Wiederauffüllung wird berechnet.

Dafür brauchen wir eine multivariable Aggregat-Schadenverteilung. Diese Verteilung wird uns durch eine multivariable Ausdehnung von Panjers Rekursion in einfacher Weise geliefert.

Numerische Beispiele zeigen den Vorteil für den Zedenten, beim Kauf einer Schadenexzedenten-Rückversicherung mit Wiederauffüllung, den Anpassungskoeffizient seines Portefeuilles zu berechnen.

Es folgt eine Diskussion über die optimale Berechnungsmethode.

Summary

The adjustment coefficient for the cedent’s retained risk after excess of loss reinsurance with reinstatements is calculated.

Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer’s recursion.

Numerical examples show the interest for the cedent to calculate the adjustment coefficient for its portfolio when buying excess of loss reinsurance with reinstatements.

An optimal organization of the calculations is discussed.

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References

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Authors and Affiliations

  1. Brüssel

    Jean-François Walhin

  2. Louvain-la-Neuve

    José Paris

Authors
  1. Jean-François Walhin
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  2. José Paris
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Walhin, JF., Paris, J. The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio. Blätter DGVFM 24, 615–627 (2000). https://doi.org/10.1007/BF02809078

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  • DOI: https://doi.org/10.1007/BF02809078

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