Jean-François Walhin
Abstract
This paper uses a multivariate analog of Panjer's
algorithm todevelop 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.
Key words and phrases: multivariate Panjer's algorithm, paid reinstatements, inuring layers, order of claims.
Corresponding Author:
Jean-François Walhin
Université Catholique
de Louvain,
Institut des Sciences Actuarielles
Grand-Rue, 54 B-1348
Louvain-la-Neuve
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