 previous article in this issue | next article in this issue  |
|
Document Details : Title: On Allocation of Loss Premiums Author(s): SUNDT, Bjørn Journal: ASTIN Bulletin Volume: 22 Issue: 2 Date: November 1992 Pages: 167-176 DOI: 10.2143/AST.22.2.2005113 Abstract : In the present paper we study the question of how to allocate the reinsurance premium between the sub-portfolios when an excess of loss treaty is to be shared between several sub-portfolios. Several allocation schemes based on the expected value principle and the standard deviation principle are suggested. The calculations are relatively simple with unlimited free reinstatements. However, with limited and/or paid reinstatements the situation becomes rather tricky, and we therefore suggest a simulation scheme. |
