A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts

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:	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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