Centeno, Lourdes An insight into the excess of loss retention limit. (English) Zbl 0783.62082 Scand. Actuarial J. 1991, No. 2, 97-102 (1991). 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. Cited in 5 Documents MSC: 62P05 Applications of statistics to actuarial sciences and financial mathematics 65C99 Probabilistic methods, stochastic differential equations Keywords:algorithm; optimum retention; excess of loss reinsurance; adjustment coefficient; reinsurance premium; expected value principle; retention limit PDF BibTeX XML Cite \textit{L. Centeno}, Scand. Actuarial J. 1991, No. 2, 97--102 (1991; Zbl 0783.62082) Full Text: DOI OpenURL References: [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 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.