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Adjustment Coefficient in the Sparre Anderson Model with Reinsurance

Adjustment Coefficient in the Sparre Anderson Model with Reinsurance In the context of reinsurance, this paper addresses finding the quota share retention level and the retention limit, with a ...
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Description: In the context of reinsurance, this paper addresses finding the quota share retention level and the retention limit, with a diffusion process being added to the claim process, that maximizes the adjustment coefficient in the Sparre Anderson model. From Actuarial Research Clearing House, 2006.
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- Authors: Zhi Li
- Date: Jan 2006
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Reinsurance; Reinsurance>Catastrophe reinsurance; Reinsurance>Coinsurance; Reinsurance>Stop-loss insurance

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Adjustment Coefficient in the Sparre Anderson Model with Reinsurance