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On the variance of the ECOMOR

Zur varianz des ECOMOR

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Blätter der DGVFM

Summary

New, comparably simple results on the variance of the ECOMOR-treaty are derived.

Zusammenfassung

Neue, relativ einfache Resultate über die Varianz des ECOMOR werden hergeleitet.

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References

  1. David, H. A. (1981) Order Statistics. Wiley and Sons.

  2. Kremer, E. (1985) Finite formulae for the premium of the general reinsurance treaty based on ordered claims. Insurance: Mathematics and Economics.

  3. Kremer E. (1990) On a generalized total claims amount. Blätter der deutschen Gesellschaft für Versicherungsmathematik.

  4. Kremer, E. (1994) Recursive largest claims reinsurance rating, revisited. Blätter der Deutschen Gesellschaft für Versicherungsmathematik.

  5. Kremer, E. (1999) Applied Risk Theory. Shaker, Aachen.

  6. Kremer, E. (2001) An elementary upper bound on the loading of the largest claims reinsurance cover. Blätter der Deutschen Gesellschaft für Versicherungsmathematik.

  7. Kremer, E. (2002) Largest claims reinsurance premiums under discrete claims sizes. Blätter der Deutschen Gesellschaft für Versicherungsmathematik.

  8. Kremer, E. (2004) Estimating the loading of the largest claims reinsurance cover. Journal of Nonlinear Analysis Series: B: Real World Applications.Was also the author’s contribution to the ASTIN Colloquium 2003 at Berlin.

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Kremer, E. On the variance of the ECOMOR. Blätter DGVFM 26, 501–510 (2004). https://doi.org/10.1007/BF02858088

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  • DOI: https://doi.org/10.1007/BF02858088

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