eprintid: 707
rev_number: 12
eprint_status: archive
userid: 19
dir: disk0/00/00/07/07
datestamp: 2011-07-06 09:44:42
lastmod: 2011-07-11 14:37:42
status_changed: 2011-07-06 09:44:42
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Cerqueti, Roy
creators_name: Foschi, Rachele
creators_name: Spizzichino, Fabio
creators_id: 
creators_id: rachele.foschi@imtlucca.it
creators_id: 
title: A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
ispublished: pub
subjects: HA
subjects: HB
subjects: QA
divisions: EIC
full_text_status: public
keywords: Reinsurance models with delays; Invariance properties of spatial point processes; Order statistic property; Intensity of a Spatial Mixed Poisson Process
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.
date: 2009
date_type: published
publication: Insurance: Mathematics and Economics
volume: 45
number: 1
pagerange: 59 - 64
id_number: 10.1016/j.insmatheco.2009.03.001 
refereed: TRUE
official_url: http://www.sciencedirect.com/science/article/pii/S0167668709000353
citation:   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)  
document_url: http://eprints.imtlucca.it/707/1/Insurance_Mathematics_%26_Economics.pdf