Title of article
Analysis of risk measures for reinsurance layers
Author/Authors
Sophie A. Ladoucette، نويسنده , , Sophie A. and Teugels، نويسنده , , Jef L. Teugels، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
10
From page
630
To page
639
Abstract
We analyze common risk measures for reinsurance layers defined in terms of lower and upper retentions. In particular, we consider the Value-at-Risk, the variance, the coefficient of variation, the dispersion and the reduction effect. In a first part, we compute some risk measures for a general layer. In a second part, we compare several risk measures among the different layers in a reinsurance chain.
Keywords
Quota-share , Stop-loss , Layers , Risk measures , Nonproportional reinsurance , proportional reinsurance , Drop down excess-of-loss , Excess-of-loss
Journal title
Insurance Mathematics and Economics
Serial Year
2006
Journal title
Insurance Mathematics and Economics
Record number
1543191
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