Adjustment coefficient for excess of loss reinsurance with reinstatements

Detalhes bibliográficos
Autor(a) principal: Davila, Maria Angélica Ojeda
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/6044
Resumo: Mestrado em Ciências Actuariais
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spelling Adjustment coefficient for excess of loss reinsurance with reinstatementsExcess of Loss Reinsurance with reinstatementsInitial Reinsurance premiumAdjustment coefficientBivariate Panjer’s Recursion FormulaOptimal LayerMestrado em Ciências ActuariaisIn this dissertation we present a general procedure for the calculation of the adjustment coefficient of the retained risk for an excess of loss reinsurance with reinstatements, when there is no aggregate deductible, following the model studied by Sundt (1991). We study how to calculate the initial reinsurance premium for this kind of contracts, when there is an aggregate layer, under different premium principles such as pure premium, expected value premium, standard deviation premium and the proportional hazard premium principles. In order to calculate the insurer’s adjustment coefficient we need to find the joint distribution of the insurer’s total claims and the aggregate claims of the reinsurer, considering an excess of loss reinsurance contract without reinstatements. For this reason, we study the bivariate Panjer’s recursion developed by Sundt (1999). Numerical examples, including selection of the optimal layer, are discussed in this dissertation.Instituto Superior de Economia e GestãoCenteno, Maria de LourdesRepositório da Universidade de LisboaDavila, Maria Angélica Ojeda2013-10-18T15:27:33Z20132013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/6044engDavila, Maria Angélica Ojeda. 2013. "Adjustment coefficient for excess of loss reinsurance with reinstatements ". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.info: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:RCAAP2023-03-06T14:36:55Zoai:www.repository.utl.pt:10400.5/6044Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:53:26.653058Repositório 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 Adjustment coefficient for excess of loss reinsurance with reinstatements
title Adjustment coefficient for excess of loss reinsurance with reinstatements
spellingShingle Adjustment coefficient for excess of loss reinsurance with reinstatements
Davila, Maria Angélica Ojeda
Excess of Loss Reinsurance with reinstatements
Initial Reinsurance premium
Adjustment coefficient
Bivariate Panjer’s Recursion Formula
Optimal Layer
title_short Adjustment coefficient for excess of loss reinsurance with reinstatements
title_full Adjustment coefficient for excess of loss reinsurance with reinstatements
title_fullStr Adjustment coefficient for excess of loss reinsurance with reinstatements
title_full_unstemmed Adjustment coefficient for excess of loss reinsurance with reinstatements
title_sort Adjustment coefficient for excess of loss reinsurance with reinstatements
author Davila, Maria Angélica Ojeda
author_facet Davila, Maria Angélica Ojeda
author_role author
dc.contributor.none.fl_str_mv Centeno, Maria de Lourdes
Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Davila, Maria Angélica Ojeda
dc.subject.por.fl_str_mv Excess of Loss Reinsurance with reinstatements
Initial Reinsurance premium
Adjustment coefficient
Bivariate Panjer’s Recursion Formula
Optimal Layer
topic Excess of Loss Reinsurance with reinstatements
Initial Reinsurance premium
Adjustment coefficient
Bivariate Panjer’s Recursion Formula
Optimal Layer
description Mestrado em Ciências Actuariais
publishDate 2013
dc.date.none.fl_str_mv 2013-10-18T15:27:33Z
2013
2013-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/6044
url http://hdl.handle.net/10400.5/6044
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Davila, Maria Angélica Ojeda. 2013. "Adjustment coefficient for excess of loss reinsurance with reinstatements ". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
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 Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
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
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