Bounds on Modified Stop-Loss Premiums in Case of Known Mean and Variance of the Risk Variable-Reference-Cited by-同舟云学术

Bounds on Modified Stop-Loss Premiums in Case of Known Mean and Variance of the Risk Variable

Published:1982-06 Issue:1 Volume:13 Page:23-36
ISSN:0515-0361
Container-title:ASTIN Bulletin
language:en
Short-container-title:ASTIN Bull.

Author:

De Vylder F.,Goovaerts M.,De Pril N.

Abstract

AbstractIn case of a stop-loss treaty the reinsurer takes over that part of the risk that exceeds a given amount y1. We will deduce bounds on a modified stop-loss treaty where the liability of the reinsurer is limited to y2–y1 in case the claim amount exceeds y2. Upper and lower bounds of this modified stop-loss premium are obtained as a simple application of results obtained earlier by the first author.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference4 articles.

1. An upper bound on the stop-loss net premium;Bowers;Transactions of the Society of Actuaries,1969

2. Analytical best upper bounds for stop-loss premiums;De Vylder;Insurance: Mathematics and Economics,1982

3. Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints;De Vylder;Insurance: Mathematics and Economics,1982

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stop‐Loss Reinsurance;Wiley StatsRef: Statistics Reference Online;2014-09-29

2. Bounds for Stop-loss Premiums of Stochastic Sums (with Applications to Life Contingencies);SSRN Electronic Journal;2006

3. Stop-Loss Reinsurance;Encyclopedia of Actuarial Science;2004-09-24

4. Extremal generators and extremal distributions for the continuous s-convex stochastic orderings;Insurance: Mathematics and Economics;1999-05

5. Bounds for the optimal critical claim size of a bonus system;Insurance: Mathematics and Economics;1983-01