Abstract
A combination of excess-loss and stop-loss reinsurance is considered. It belongs to an extended class of so-called perfectly hedged experience rating contracts studied in insurance and finance by the author. To price this contract, a CAPM fair principle is proposed. A concrete implementation requires knowledge about the covariance between the excess-loss and stop-loss reinsurance components. Increasing the number of risks arbitrarily, an exact covariance evaluation appears impractical or quite difficult. For practical purposes some simple and refined covariance bounds are derived.
Keywords : excess-loss reinsurance, stop-loss reinsurance, perfect hedge, CAPM fair principle, covariance bounds
Volume
Washington
Year
2001
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Systematic Risk Models
CAPM
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Business Areas
Reinsurance
Excess (Non-Proportional);
Publications
ASTIN Colloquium
