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
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
Journal title :
Insurance Mathematics and Economics