Largest claims reinsurance: the cedant's point of view

Christian Hess, France

We present results allowing one to evaluate the cost and the variance reduction of the cedant in the framework of reinsurance treaties based on order statistics. We compare the efficiency of such treaties with excess of loss covers. Numerical examples show that the best choice may depend on the distribution of the individual claim size, especially on the heaviness of the tail and on the premium principles applied by both companies.
Date: 30 May - Time: 13:45 to 15:15 - Room: 251
Theme: 9.A. Various topics