Quantifying the Role of Occurrence Losses in Catastrophe Excess of Loss Reinsurance Pricing

The aim of this paper is to merge order statistics with natural catastrophe reinsurance pricing to develop new theoretical and practical insights relevant to market practice and model development. We present a novel framework to quantify the role that occurrence losses (order statistics) play in pri...

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Bibliographic Details
Main Authors: Shree Khare, Keven Roy
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Risks
Subjects:
Online Access:https://www.mdpi.com/2227-9091/9/3/52