A (new) nonparametric method for XL-rating.

162

Abstracts and Reviews

preference is consistent with the e-difference similarity relation on the prize space and some correlated similarity relations on the probability space, and that a similarity relation on the prize space and correlated similarity relations on the probability space overdetermine the preference (in A.Rubinstein’s sense). (Authors) Keywords: Similarity

M51:

Decision,

Simple

Lotteries,

Correlated

Keywords: Ef,ciency.

RISK SHARING ARRANGEMENTS

053073 (M51) Insurance with undiversifiable structure and organizational form of Doherty N.A., Dionne G., University Philadelphia, UniversitC de MontrCal,

053075 (M51,

risk: Contract insurance firms. of Pennsylvania, Canada, Journal

Vol. 6, nr. 2, april 1993, pp.

Keywords: Analysis.

fiir

Keywords:

Estimation.

Aggregate

053074

(M51,

Risk, Idiosyncratic Risk, Insurance Principle, Homemade Mutualization Liability

Insurance

Insurance,

B90)

B90)

Versicherungsmathematik,

Band Xu,

M52:

Generalized

Heft 2, april

1992, pp. 329-336.

Recently the author compared the excess-of-loss and largest claims reinsurance covers with the help of an asymptotic efficiency measure. It turned out that the excess-of-loss treaty is preferable with respect to that asymptotic efficiency. Now a limiting value of that

Band .XXj Heft I,

Total

Claim Amount,

Fourier

REINSURANCE, RETENTIONS

053076 (M52, B90) A (new) nonparametric method for XL-rating. Kremer E., Hamburg, Bliitter der Deutsche Gesellschaft Versicherungsmathematik,

Band XXI, Heft I, april

1993, pp. 13-18.

The problem of calculating the premium of a classical excess-of-loss cover is reconsidered. An elegant and fairly general rating method is presented that is based on newer nonparametric estimation and tailapproximation techniques. (Author) Keywords:

Excess-of-Loss

053077 (M52,

Crisis.

The limit-equivalence of the excess-of-loss and largest claims reinsurance treaty. Kremer E., Hamburg, Bliitter der Deutsche Gesellschaft fir

Claim

A generalized total claims amount resulting from certain generalized reinsurance covers is reconsidered. It is discussed how to calculate the density of the distribution of that claims amount by using methods of the Fourier analysis. The density of the claims sizes is assumed to be of a certain generalized type. (Author)

Previous explanations of the contract choice and organizational form of insurance firms do not explain, by themselves, the recent proliferation of mutuals and new contract designs. The authors first present riskbearing arguments to address these phenomena. They present two forms of insurance. The first is a conventional transfer of risk whereas the second decomposes risk between idiosyncratic and nonidiosyncratic. The authors show that the latter form leads to more active trade in insurance markets with correlated exposures. Moreover, the decomposed form dominates the simple transfer. These results qualify and extend the work of Borch (1962) and Marshall (1974). Market responses to the recent “liability insurance crisis” are compatible with these predictions. (Authors) Contracts,

Largest

schaft fiir Versicherungsmathematik, april 1991, pp. 31-35.

187-203.

Mutualization,

Excess-of-Loss,

Fourier methods for the claims amounts of largest claims reinsurance covers. Kremer E., LBhnberg, Bliitter der Deutsche Gesell-

Relations.

of Risk and Uncertainq,

asymptotic efficiency is investigated, the so called limiting efficiency. It turns out that the excess-of-loss and largest claims covers are equivalent with regard to that limiting efficiency. (Author)

Cover,

Non-Parametric

B90)

Aspekte der Burning-CostPraxisrelevante Kalkulatiou. Lippe S., Sedlmair H., Witting T., Miinchen, Bliitter der Deutsche Gesellschaftftir Versicherungsmathematik, Band Xu. Heft 2, oktober 1991, pp. 97-121.

The present paper applies the burning cost premium calculation technique often used for reinsurance treaties to lines which typically exhibit a long tail in the development of claims. The model is designed to take into account especially the long-term effects of claims cost inflation, stabilization by index clause, and IBNR losses on the projected development of the excess