Abstract
We study the insurer’s adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson (1957) model. We show that the insurer’s adjustment coefficient is a unimodal function of the retention levels when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the expected value principle.
Keywords: Sparre Anderson model; adjustment coefficient; reinsurance; excess of loss; quota-share; combinations of excess of loss and quota-share reinsurance.
Volume
Washington
Year
2001
Categories
Business Areas
Reinsurance
Excess (Non-Proportional);
Business Areas
Reinsurance
Quota Share (Proportional);
Publications
ASTIN Colloquium
