Estimating the loading of the largest claims covers

摘要

The largest claims reinsurance treaties are reconsidered. Two approaches for estimating a certain main part of the loading are given. For the first approach certain bounds are derived, for the second the Monte-Carlo-Integration-method adapted. The second, not so practicable approach can be used for finding adequate mixing coefficients for the first, quite practicable approach. (C) 2004 Published by Elsevier Ltd.