Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model

Detalhes bibliográficos
Autor(a) principal: Centeno, M. de Lourdes
Data de Publicação: 2002
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27767
Resumo: We study the insurer’s adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson model [In: Transactions of the XV International Congress of Actuaries]. We show that the insurer’s adjustment coefficient is a unimodal function of the retention levels when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the expected value principle.
id RCAP_4994c15f339cb67c5560cfd8c19756f3
oai_identifier_str oai:www.repository.utl.pt:10400.5/27767
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson modelSparre Anderson ModelAdjustment CoefficientReinsuranceExcess of LossQuota-shareCombinations of Excess of Loss and Quota-share ReinsuranceWe study the insurer’s adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson model [In: Transactions of the XV International Congress of Actuaries]. We show that the insurer’s adjustment coefficient is a unimodal function of the retention levels when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the expected value principle.ElsevierRepositório da Universidade de LisboaCenteno, M. de Lourdes2023-05-12T20:28:22Z20022002-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27767engCenteno, M. de Lourdes.(2002). “Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model”. Insurance: Mathematics and Economics, Vol. 30, Issue 1: pp. 37-49. (Search PDF in 2023).0167-668710.1016/S0167-6687(01)00095-6info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-14T01:30:54Zoai:www.repository.utl.pt:10400.5/27767Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:52:02.605639Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
title Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
spellingShingle Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
Centeno, M. de Lourdes
Sparre Anderson Model
Adjustment Coefficient
Reinsurance
Excess of Loss
Quota-share
Combinations of Excess of Loss and Quota-share Reinsurance
title_short Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
title_full Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
title_fullStr Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
title_full_unstemmed Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
title_sort Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
author Centeno, M. de Lourdes
author_facet Centeno, M. de Lourdes
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Centeno, M. de Lourdes
dc.subject.por.fl_str_mv Sparre Anderson Model
Adjustment Coefficient
Reinsurance
Excess of Loss
Quota-share
Combinations of Excess of Loss and Quota-share Reinsurance
topic Sparre Anderson Model
Adjustment Coefficient
Reinsurance
Excess of Loss
Quota-share
Combinations of Excess of Loss and Quota-share Reinsurance
description We study the insurer’s adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson model [In: Transactions of the XV International Congress of Actuaries]. We show that the insurer’s adjustment coefficient is a unimodal function of the retention levels when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the expected value principle.
publishDate 2002
dc.date.none.fl_str_mv 2002
2002-01-01T00:00:00Z
2023-05-12T20:28:22Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27767
url http://hdl.handle.net/10400.5/27767
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Centeno, M. de Lourdes.(2002). “Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model”. Insurance: Mathematics and Economics, Vol. 30, Issue 1: pp. 37-49. (Search PDF in 2023).
0167-6687
10.1016/S0167-6687(01)00095-6
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131597094518784

Registros relacionados