Credibility for Reinsurance Excess Pricing

Reinsurance excess pricing generally consists of both an exposure rating and an experience rating. We investigate the problem of computing a final rate by means of credibility theory. This paper extends the excess credibility model of Erwin Straub (1971) by considering uncertainty in the excess probability along with the uncertainty in the ground-up claim count expectation. We attempt to tie excess credibilities for various attachment points together into a consistent model utilizing a gamma/Poisson model for the ground-up number of claims. We also discuss the appropriating information available in various actual rating situations. This paper is written for practitioners. Reinsurance Research - Pricing/Contract Design