Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/6044
Título: Adjustment coefficient for excess of loss reinsurance with reinstatements
Autor: Davila, Maria Angélica Ojeda
Orientador: Centeno, Maria de Lourdes
Palavras-chave: Excess of Loss Reinsurance with reinstatements
Initial Reinsurance premium
Adjustment coefficient
Bivariate Panjer’s Recursion Formula
Optimal Layer
Data de Defesa: 2013
Editora: Instituto Superior de Economia e Gestão
Citação: Davila, Maria Angélica Ojeda. 2013. "Adjustment coefficient for excess of loss reinsurance with reinstatements ". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Resumo: In this dissertation we present a general procedure for the calculation of the adjustment coefficient of the retained risk for an excess of loss reinsurance with reinstatements, when there is no aggregate deductible, following the model studied by Sundt (1991). We study how to calculate the initial reinsurance premium for this kind of contracts, when there is an aggregate layer, under different premium principles such as pure premium, expected value premium, standard deviation premium and the proportional hazard premium principles. In order to calculate the insurer’s adjustment coefficient we need to find the joint distribution of the insurer’s total claims and the aggregate claims of the reinsurer, considering an excess of loss reinsurance contract without reinstatements. For this reason, we study the bivariate Panjer’s recursion developed by Sundt (1999). Numerical examples, including selection of the optimal layer, are discussed in this dissertation.
Descrição: Mestrado em Ciências Actuariais
URI: http://hdl.handle.net/10400.5/6044
Aparece nas colecções:BISEG - Dissertações de Mestrado / Master Thesis
DM - Dissertações de Mestrado / Master Thesis

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