Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model

Insurance: Mathematics and Economics

Volumn 31, Issue 3, 2002, Pages 415-427

  Centeno, Maria de Lourdes ^a  

^a UNIVERSITY OF LISBON   (Portugal)

Author keywords

Adjustment coefficient; Excess of loss; Reinsurance; Sparre Anderson model

Indexed keywords

EID: 0037146887     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00187-7     Document Type: Article

References (8)

1. Centeno, M.L., 1986. Measuring the effects of reinsurance by the adjustment coefficient. Insurance: Mathematics and Economics 5, 169-182.
2. Centeno, M.L., 1997. Excess of loss reinsurance and the probability of ruin in finite horizon. ASTIN Bulletin 27, 59-70.
3. Centeno, M.L., 2002. Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model. Insurance: Mathematics and Economics 30, 37-49.
4. Gerber, H.U., 1973. Martingales in risk theory. Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, pp. 205-216.
5. Gerber, H.U., 1979. An Introduction to Mathematical Risk Theory, S.S. Huebner Foundation Monographs. University of Pennsylvania.
6. Grandell, J., 1991. Aspects of Risk Theory. Springer, New York.
7. Sparre Anderson, E., 1957. On the collective theory of risk in the case of contagious between the claims. In: Proceedings of the Transactions on XV International Congress of Actuaries, New York.
8. Waters, H., 1983. Some mathematical aspects of reinsurance. Insurance: Mathematics and Economics 2, 17-26.