On marine liability portfolio modeling

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Serval ID
serval:BIB_A154D10730CF
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On marine liability portfolio modeling
Journal
ASTIN Bulletin
Author(s)
Guevara-Alarcon W., Albrecher H., Chowdhury P.
ISSN
0515-0361
Publication state
Published
Issued date
2020
Peer-reviewed
Oui
Volume
50
Number
1
Pages
61-93
Language
english
Abstract
Marine is the oldest type of insurance coverage. Nevertheless, unlike cargo and hull covers, marine liability is a rather young line of business with claims that can have very heavy and long tails. For reinsurers, the accumulation of losses from an event insured by various Protection and Indemnity (P&I) Clubs is an additional source for very large claims in the portfolio. In this paper we first describe some recent developments of the marine liability market and then statistically analyze a data set of large losses for this line of business in a detailed manner both in terms of frequency and severity, including censoring techniques and tests for stationarity over time. We further formalize and examine an optimization problem that occurs for reinsurers participating in XL on XL coverages in this line of business and give illustrations of its solution.
Create date
21/10/2019 9:47
Last modification date
23/10/2020 6:23
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