In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed Poisson Process. By using an invariance property of the Spatial Mixed Poisson Processes, we estimate the amount that the ceding company obtains in a fixed time interval in force of the reinsurance contract.

A Spatial Mixed Poisson Framework for Combination of Excess of Loss and Proportional Reinsurance Contracts

CERQUETI, ROY;
2009-01-01

Abstract

In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed Poisson Process. By using an invariance property of the Spatial Mixed Poisson Processes, we estimate the amount that the ceding company obtains in a fixed time interval in force of the reinsurance contract.
2009
-LONDON, ENGLAND: ACADEMIC PRESS LTD ELSEVIER SCIENCE LTD, -London; New York: Academic Press.
Internazionale
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11393/38756
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