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Finance and Financial Management

2002

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Some Comments On The Pricing Of An Exotic Excess Of Loss Treaty, Jean-Francois Walhin Jan 2002

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.

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