| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077115 | Insurance: Mathematics and Economics | 2009 | 8 Pages |
Abstract
We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claim sizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christian Hess,