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End User License Agreement
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End User License Agreement
by Jozef L. Teugels, Jan Beirlant, Hansjöerg Albrecher
Reinsurance
Cover
Title Page
Preface
1 Introduction
1.1 What is Reinsurance?
1.2 Why Reinsurance?
1.3 Reinsurance Data
1.4 Notes and Bibliography
2 Reinsurance Forms and their Properties
2.1 Quota‐share Reinsurance
2.2 Surplus Reinsurance
2.3 Excess‐of‐loss Reinsurance
2.4 Stop‐loss Reinsurance
2.5 Large Claim Reinsurance
2.6 Combinations of Reinsurance Forms and Global Protections
2.7 Facultative Contracts
2.8 Notes and Bibliography
3 Models for Claim Sizes
3.1 Tails of Distributions
3.2 Large Claims
3.3 Common Claim Size Distributions
3.4 Mean Excess Analysis
3.5 Full Models: Splicing
3.6 Multivariate Modelling of Large Claims
4 Statistics for Claim Sizes
4.1 Heavy or Light Tails: QQ‐ and Derivative Plots
4.2 Large Claims Modelling through Extreme Value Analysis
4.3 Global Fits: Splicing, Upper‐truncation and Interval Censoring
4.4 Incorporating Covariate Information
4.5 Multivariate Analysis of Claim Distributions
4.6 Estimation of Other Tail Characteristics
4.7 Further Case Studies
4.8 Notes and Bibliography
5 Models for Claim Counts
5.1 General Treatment
5.2 The Poisson Process and its Extensions
5.3 Other Claim Number Processes
5.4 Discrete Claim Counts
5.5 Statistics of Claim Counts
5.6 Claim Numbers under Reinsurance
5.7 Notes and Bibliography
6 Total Claim Amount
6.1 General Formulas for Aggregating Independent Risks
6.2 Classical Approximations for the Total Claim Size
6.3 Panjer Recursion
6.4 Fast Fourier Transform
6.5 Total Claim Amount under Reinsurance
6.6 Numerical Illustrations
6.7 Aggregation for Dependent Risks
6.8 Notes and Bibliography
7 Reinsurance Pricing
7.1 Classical Principles of Premium Calculation
7.2 Solvency Considerations
7.3 Pricing Proportional Reinsurance
7.4 Pricing Non‐proportional Reinsurance
7.5 The Aggregate Risk Margin
7.6 Leading and Following Reinsurers
7.7 Notes and Bibliography
8 Choice of Reinsurance
8.1 Decision Criteria
8.2 Classical Optimality Results
8.3 Solvency Constraints and Cost of Capital
8.4 Minimizing Other Risk Measures
8.5 Combining Reinsurance Treaties
8.6 Reinsurance Chains
8.7 Dynamic Reinsurance
8.8 Beyond Piecewise Linear Contracts
8.9 Notes and Bibliography
9 Simulation
9.1 The Monte Carlo Method
9.2 Variance Reduction Techniques
9.3 Quasi‐Monte Carlo Techniques
9.4 Notes and Bibliography
10 Further Topics
10.1 More on Large Claim Reinsurance
10.2 Alternative Risk Transfer
10.3 Reinsurance and Finance
10.4 Catastrophic Risk
References
Index
End User License Agreement
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WILEY END USER LICENSE AGREEMENT
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