An insight into the excess of loss retention limit. (English) Zbl 0783.62082

Summary: 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.


62P05 Applications of statistics to actuarial sciences and financial mathematics
65C99 Probabilistic methods, stochastic differential equations
Full Text: DOI


[1] Carter R. L., Reinsurance (1979)
[2] Reinsurance. Principles and practice (1982)
[3] Waters H. R., Scandinavian Actuarial Journal pp 37– (1979)
[4] DOI: 10.1016/0167-6687(83)90003-3 · Zbl 0505.62085
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