Analysis of risk measures for reinsurance layers

S.A. Ladoucette; J.L. Teugels

doi:10.1016/j.insmatheco.2005.12.005

Analysis of risk measures for reinsurance layers

S.A. Ladoucette
, J.L. Teugels

Eurandom

Research output: Contribution to journal › Article › Academic › peer-review

11 Citations (Scopus)

Abstract

We analyze common risk measures for reinsurance layers defined in terms of lower and upper retentions. In particular, we consider the Value-at-Risk, the variance, the coefficient of variation, the dispersion and the reduction effect. In a first part, we compute some risk measures for a general layer. In a second part, we compare several risk measures among the different layers in a reinsurance chain.

Original language	English
Pages (from-to)	630-639
Journal	Insurance: Mathematics and Economics
Volume	38
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2005.12.005
Publication status	Published - 2006

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10.1016/j.insmatheco.2005.12.005

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AB - We analyze common risk measures for reinsurance layers defined in terms of lower and upper retentions. In particular, we consider the Value-at-Risk, the variance, the coefficient of variation, the dispersion and the reduction effect. In a first part, we compute some risk measures for a general layer. In a second part, we compare several risk measures among the different layers in a reinsurance chain.

U2 - 10.1016/j.insmatheco.2005.12.005

DO - 10.1016/j.insmatheco.2005.12.005

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EP - 639

JO - Insurance: Mathematics and Economics

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Analysis of risk measures for reinsurance layers

Abstract

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