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The Asymptotic Efficiency of Largest Claims Reinsurance Treaties

Published online by Cambridge University Press:  29 August 2014

Erhard Kremer
Erhard Kremer*
Affiliation:
Hamburg & Löhnberg, FRG
*
Verein zur Förderung der Angewandten Mathematischen Statistik und Risikotheorie Research & Relax Area, Wallstr. 15, 6293 Löhnberg 1, FRG.
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Abstract

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Reinsurance treaties defined as generalizations of the classical largest claims reinsurance covers are investigated with respect to the associated risk, defined as the variance of the insurer's retaining total claims amount. Instead of the unhandy variance corresponding handier asymptotic expressions are used. With these an asymptotic efficiency measure for comparing two such reinsurance covers is defined. It is shown that with respect to asymptotic efficiency the excess-of-loss treaty is better than the classical largest claims treaty. Furthermore the problem of giving optimal wheights to the ordered claims of a generalized largest claims cover is discussed.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 20 , Issue 1 , April 1990 , pp. 11 - 22
Copyright
Copyright © International Actuarial Association 1990

References

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