Title: Analysis of risk measures for reinsurance layers
Authors: Ladoucette, Sophie ×
Teugels, Jozef #
Issue Date: Jun-2006
Series Title: Insurance: Mathematics & Economics vol:38 issue:3 pages:630-639
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.
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
Mathematics - miscellaneous
× corresponding author
# (joint) last author

Files in This Item:

There are no files associated with this item.

Request a copy


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science