Cerqueti, Roy and Foschi, Rachele and Spizzichino, Fabio A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts. Insurance: Mathematics and Economics, 45 (1). 59 - 64. (2009)
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Abstract
In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim’s arrival time, claim’s size) is described by a Spatial Mixed Poisson Process. By using an invariance property of the Spatial Mixed Poisson Processes, we estimate the amount that the ceding company obtains in a fixed time interval in force of the reinsurance contract.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/10.1016/j.insmatheco.2009.03.001 |
| Uncontrolled Keywords: | Reinsurance models with delays; Invariance properties of spatial point processes; Order statistic property; Intensity of a Spatial Mixed Poisson Process |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Users 19 not found. |
| Date Deposited: | 06 Jul 2011 09:44 |
| Last Modified: | 11 Jul 2011 14:37 |
| URI: | http://eprints.imtlucca.it/id/eprint/707 |
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