IJPAM: Volume 72, No. 3 (2011)
PREMIUM FEASIBILITY IN

WITH REINSTATEMENTS



University of Molise
Via F. De Sanctis, Campobasso, 86100, ITALY

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