Abstract
Sundt's (1999) multivariate Panjer recursion is used to calculate the covariances in results from excess of loss layers protecting the same underlying risk when this is modelled by a compound distribution. The method developed handles the case where the covers of the layers are reduced with aggregate limits and deductibles and the layer premiums are regulated by reinstatement premiums. The results are used to calculate the loading on standard deviation of the layer structure regarded as one single risk.
KEYWORDS: Excess of loss reinsurance; multilayer; standard deviation loading; multivariate Panjer recursion; reinstatements; aggregate deductible; reinstatement premium.
Volume
Washington
Year
2001
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Business Areas
Reinsurance
Excess (Non-Proportional);
Financial and Statistical Methods
Aggregation Methods
Panjer
Publications
ASTIN Colloquium
