Finance Department

 

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.

Share

COinS