On marine liability portfolio modeling

Détails

Ressource 1Télécharger: Marine liability portfolio modeling_R1.pdf (939.86 [Ko])
Etat: Public
Version: de l'auteur
Licence: Non spécifiée
ID Serval
serval:BIB_A154D10730CF
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On marine liability portfolio modeling
Périodique
ASTIN Bulletin
Auteur(s)
Guevara-Alarcon W., Albrecher H., Chowdhury P.
ISSN
0515-0361
Statut éditorial
In Press
Peer-reviewed
Oui
Langue
anglais
Résumé
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.
Création de la notice
21/10/2019 8:47
Dernière modification de la notice
22/10/2019 6:08
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