Department of Finance

 

Date of this Version

2002

Document Type

Article

Citation

Journal of Actuarial Practice 10 (2002), pp. 175-192

Comments

Copyright 2002 Absalom Press

Abstract

This paper uses a multivariate analog of Panjer's algorithm to develop a method for pricing a complex excess of loss treaty. The treaty is such that some layers inure to the benefit of other layers. The structure of this treaty is discussed. Numerical examples are provided.

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