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Some Comments On The Pricing Of An Exotic Excess Of Loss Treaty, Jean-Francois Walhin
Some Comments On The Pricing Of An Exotic Excess Of Loss Treaty, Jean-Francois Walhin
Journal of Actuarial Practice (1993-2006)
This paper uses a multivariate analog of Panjer's algorithm to develop a method for pricing a complex excess of loss treaty. The treaty is such that some layers inure to the benefit of other layers. The structure of this treaty is discussed. Numerical examples are provided.