An asymptotic formula for the net premium of some reinsurance treaties

Abstract

Abstract In the following a rather general class of reinsurance treaties is defined, including the excess-of-loss, largest claims and ECOMOR reinsurance treaties. Based on asymptotic considerations a simple premium formula is developed for the general treaty. The result is applied to two special types of reinsurance treaties. As a byproduct the paper indicates that there are intimate connections between reinsurance and the field of robust statistics.