An asymptotic formula for the net premium of some reinsurance treaties

Authors
Citation
E. Kremer,, An asymptotic formula for the net premium of some reinsurance treaties, Scandinavian actuarial journal , 1984(1), 1984, pp. 11-22
ISSN journal
03461238
Volume
1984
Issue
1
Year of publication
1984
Pages
11 - 22
Database
ACNP
SICI code
Abstract
In the following a rather general class of reinsurance treaties is defined, including the excess-of-loss, largest claims and ECOMOR reinsurance treaties. Based on asymptotic considerations a simple premium formula is developed for the general treaty. The result is applied to two special types of reinsurance treaties. As a byproduct the paper indicates that there are intimate connections between reinsurance and the field of robust statistics.