The Aggregation and Correlation of Insurance Exposure

@inproceedings{Meyers2003TheAA,
  title={The Aggregation and Correlation of Insurance Exposure},
  author={Glenn G. Meyers and Fredrick L. Klinker and David A. Lalonde},
  year={2003}
}
  • Glenn G. Meyers, Fredrick L. Klinker, David A. Lalonde
  • Published 2003
This paper begins with a description of how to calculate the aggregate loss distribution for a reinsurer. We include most of the standard exposures as well as property catastrophe exposure. Next we show how this aggregate loss distribution can be used to determine the needed capital, and its cost, for a reinsurer. Finally we show how to calculate the capacity charges for individual reinsurance contracts that will allow the reinsurer to recover its cost of capital. We demonstrate the use of this… CONTINUE READING
Highly Cited
This paper has 22 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.
13 Citations
5 References
Similar Papers

Citations

Publications citing this paper.
Showing 1-10 of 13 extracted citations

References

Publications referenced by this paper.
Showing 1-5 of 5 references

The Economics of Capital Allocation," Presented at the Bowles Symposium, April

  • Glenn Meyers
  • 2003

Setting Capital Requirements with Coherent Measures of Risk - Part 1 and Part 2,

  • Glenn Meyers
  • Actuarial Review, August and November
  • 2002

Discussion of Aggregation of Correlated Risk Portfolios by Shaun Wang," PCAS LXXXVI

  • Glenn Meyers
  • 1999
1 Excerpt

Estimating Between Line Correlations Generated by Parameter Uncertainty," CAS Forum, Summer (1999a) http://www.casact.org/pubs/forum/99sforum/99s f197.pdf

  • Glenn Meyers
  • 1999

The Calculation of Aggregate Loss Distributions from Claim Severity Distributions and Claim Count Distributions," PCAS LXX

  • Philip E. Heckman, Glenn G. Meyers
  • 1983
3 Excerpts

Similar Papers

Loading similar papers…