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Analysis of risk measures for reinsurance layers. (English) Zbl 1168.91416

Summary: We analyze common risk measures for reinsurance layers defined in terms of lower and upper retentions. In particular, we consider the Value-at-Risk, the variance, the coefficient of variation, the dispersion and the reduction effect. In a first part, we compute some risk measures for a general layer. In a second part, we compare several risk measures among the different layers in a reinsurance chain.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
62E10 Characterization and structure theory of statistical distributions
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