On Allocation of Excess of Loss Premiums

In the present paper we study the question of how to allocate the reinsurance premium between the sub-portfolios when an excess of loss treaty is to be shared between several sub-portfolios. Several allocation schemes based on the expected value principle and the standard deviation principle are suggested. The calculations are relatively simple with unlimited free reinstatements. However, with limited and/or paid reinstatements the situation becomes rather tricky, and we therefore suggest a simulation scheme. Reinsurance Research - Pricing/Contract Design