Title: Quasi-likelihood estimation of benchmark rates for excess of loss reinsurance programs
Authors: Verlaak, Robert ×
Huerlimann, Werner
Beirlant, Jan #
Issue Date: Nov-2009
Publisher: Peeters
Series Title: Astin Bulletin vol:39 issue:2 pages:429-452
Abstract: In this paper a method for determining benchmark rates for the excess of loss reinsurance of a Motor Third Party Liability insurance portfolio will be developed based on observed market rates. The benchmark rates are expressed as a percentage of the expected premium income that is available to cover the whole risk of the portfolio. The rates are assumed to be based on a compound process with a heavy tailed severity, such as Burr or Pareto distributions. In the absence of claim data these assumptions propagate the theoretical benchmark rate component of the regression model.
ISSN: 0515-0361
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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