In this paper we consider the problem raised in the Astin Bulletin (1999) by Prof. Benktander at the occasion of his 80th birthday concerning the choice of an appropriate claim size distribution in connection with reinsurance rating problems. Appropriate models for large claim distributions play...

Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?...

In this paper we discuss the concept of excess of loss reinsurance withreinstatements...

This paper explains securitization of insurance risk by describing its essential components and its economic rationale. We use examples and describe recent securitization transactions...

Based on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company...

For estimating the shape parameter of Paretian excess claims, certainBayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature...

In this paper we compare, from the point of view of reinsurance, the severalrisk adjusted premium calculation principles considered in Wang (1996b).We conclude that, with the exception of the proportional hazard (PH)premium calculation principle, all the others behave in a way similar to...

Largest claims reinsurance covers are reconsidered. Allowing the original...

A unlt-hnked hfe insurance contract ~s a contract where the insurancebenefits depend on the price of some specific traded stocks We consider amodel describing the uncertainty of the financial market and a portfoho ofinsured individuals simultaneously...

In the present paper the author gwes net premium formulae for a generahzed largest clmms reinsurance cover If the clmm sizes are mutually independent and idenhcally 3-parametric Pareto distributed and the number of clmms has a Polsson...