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' sizes) 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 loss and proportional reinsurance contract / Cerqueti, R.; Foschi, R.; Spizzichino, Fabio. - In: INSURANCE MATHEMATICS & ECONOMICS. - ISSN 0167-6687. - STAMPA. - 45 (1):(2009), pp. 59-64. [10.1016/j.insmatheco.2009.03.001]
A spatial mixed Poisson framework for combination of excess loss and proportional reinsurance contract
R. CERQUETI;SPIZZICHINO, Fabio
2009
Abstract
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' sizes) 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
