资源描述：
《what do distortion risk measures tell us on excess of loss reinsurance》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、Whatdodistortionriskmeasurestellusonexcessoflossreinsurancewithreinstatements?AntonellaCampanaandPaolaFerrettiAbstract.Inthispaperwefocusourattentiononthestudyofanexcessoflossreinsurancewithreinstatements,aproblempreviouslystudiedbySundtand,morerecently,byMataandHurlimann.Itiswellknownthattheev
2、aluationofpurepremiumsrequiresknowledgeofthe¨claimsizedistributionoftheinsurancerisk:inordertofacethisquestion,differentapproacheshavebeenfollowedintheactuarialliterature.Inasituationofincompleteinformationinwhichonlysomecharacteristicsoftheinvolvedelementsareknown,itappearstobeparticularlyinte
3、restingtosetthisproblemintheframeworkofrisk-adjustedpremiums.Itisshownthatifrisk-adjustedpremiumssatisfyageneralisedexpectedvalueequation,thentheinitialpremiumexhibitssomeregularitypropertiesasafunctionofthepercentagesofreinstatement.Keywords:excessoflossreinsurance,reinstatements,distortionris
4、kmeasures1IntroductionInrecentyearsthestudyofexcessoflossreinsurancewithreinstatementshasbecomeamajortopic,inparticularwithreferencetotheclassicalevaluationofpurepremiums,whichisbasedonthecollectivemodelofrisktheory.Theproblem,previouslystudiedbySundt[5]and,morerecently,byMata[4]andHurlimann[3]
5、,requirestheevaluationofpurepremiumsgiventheknowled-¨geoftheclaimsizedistributionoftheinsurancerisk:inordertofacethisquestion,differentapproacheshavebeenfollowedintheactuarialliterature.Sundt[5]basedthecomputationonthePanjerrecursionnumericalmethodandHurlimann[3]provided¨distribution-freeapprox
6、imationstopurepremiums.Inasituationofincompleteinformationinwhichonlysomecharacteristicsoftheinvolvedelementsareknown,itappearstobeparticularlyinterestingtosetthisproblemintheframeworkofrisk-adjustedpremiums.WestartfromthemethodologydevelopedbySundt[5]topriceexcessoflossrein-surancewithreinstat
7、ementsforpurepremiumsand,withtheaimofrelaxingthebasichypothesismadebyWalhinandParis[6],whocalculatedtheinitialpremiumPundertheProportionalHazardtransformpremiumprinciple,weaddressouranalysistothestudyoftheroleplayedbyrisk-adjusted
