An insight into the excess of loss retention limit
- 1 July 1991
- journal article
- research article
- Published by Informa UK Limited in Scandinavian Actuarial Journal
- Vol. 1991 (2), 97-102
- https://doi.org/10.1080/03461238.1991.10413884
Abstract
In this paper we provide an algorithm to calculate the optimum retention of an excess of loss reinsurance arrangement of a risk, optimum in the sense that it maximizes the adjustment coefficient, assuming that the reinsurance premium is calculated according to the expected value principle, the loading coefficient of which is dependent on the retention limit.Keywords
This publication has 2 references indexed in Scilit:
- Some mathematical aspects of reinsuranceInsurance: Mathematics and Economics, 1983
- Excess of loss reinsurance limitsScandinavian Actuarial Journal, 1979