Homework_Assignment_25 - Homework Assignment 25: (1) Using...

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Homework Assignment 25: (1) Using the table on page 449, calculate the expected value of the reinsurer’s payment for each of the following reinsurance arrangements: (a) The reinsurer pays 50% of aggregate claims in excess of 2. The maximum amount the reinsurer will pay is 2. (Ans 0.3215) (b) The reinsurer reimburses aggregate claims at the rate of 80% of the first 2 in excess of 2, 90% of the next 2, and 100% thereafter. (Ans 0.5534) (2) Consider a surplus process where (i) the aggregate claims process, S(t), is compound Poisson with λ = 25 and claims have an exponential distribution with mean =10, (ii) the relative security loading is 25%, and (iii) proportional reinsurance, h(x) = .30x, is available at a price 140% of the expected reinsured claims. (a) What is the expected gain of the insurer in the absence of reinsurance? (62.50) (b) What is it with reinsurance? (32.50) a (c) What is the insurer’s relative security loading with reinsurance? (0.1857) b (d) What is the adjustment coefficient in the absence of reinsurance? (0.02)
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This note was uploaded on 05/11/2011 for the course STOR 472 taught by Professor Charlesdann during the Spring '11 term at University of North Carolina School of the Arts.

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