Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077614 | Insurance: Mathematics and Economics | 2006 | 10 Pages |
Abstract
We analyze common risk measures for reinsurance layers defined in terms of lower and upper retentions. In particular, we consider the Value-at-Risk, the variance, the coefficient of variation, the dispersion and the reduction effect. In a first part, we compute some risk measures for a general layer. In a second part, we compare several risk measures among the different layers in a reinsurance chain.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Sophie A. Ladoucette, Jef L. Teugels,