IJPAM: Volume 72, No. 3 (2011)

EXCHANGEABILITY HYPOTHESIS AND INITIAL
PREMIUM FEASIBILITY IN $XL$ REINSURANCE
WITH REINSTATEMENTS

Antonella Campana$^1$, Paola Ferretti$^2$
$^1$Department SEGeS
University of Molise
Via F. De Sanctis, Campobasso, 86100, ITALY
$^2$Department of Economics
Advanced School of Economics
Ca'Foscari University of Venice
San Giobbe, Cannaregio 873, Venezia, 30121, ITALY


Abstract. This paper studies excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution, in the framework of risk adjusted premium principle. By regarding to comonotonic exchangeability, a generalized definition of initial premium is proposed and some regularity properties characterizing it are presented, both with reference to conditions on underlying distortion functions both with respect to composing functions. The attention is then focused on conditions ensuring feasibility of generalized initial premiums with reference to the limit on the payment of each claim.

Received: August 9, 2011

AMS Subject Classification: 62P05, 91B30, 62H20

Key Words and Phrases: excess of loss reinsurance, reinstatements, initial premium, exchangeability, distortion risk measures, feasibility

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Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2011
Volume: 72
Issue: 3