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Subject:

ANNOUNCEMENT SEMINAR JEF TEUGELS AT EURANDOM

From:

Koorn, P.M.

Date:

Mon, 14 Nov 2011 15:36:10 +0100

Content-Type:

text/plain

Parts/Attachments:

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 ```Dear All, November 29, 2011, 15.30 - 17.15 h., Eurandom, Eindhoven, room LG 1.105 Jef Teugels (KU Leuven, Eurandom) Insurance and Reinsurance This special seminar is to mark the end of Jef's role of senior advisor at Eurandom. A long and fruitful collaboration of which many postdocs and PhD students have benefited over the years. For organizational reasons we kindly ask you to register for this event: seminar and reception. ABSTRACT: INSURANCE MATHEMATICS Our intention is to cover the essentials of reinsurance treaties. Since reinsurance is insurance in itself, we first discuss some classical problems from insurance mathematics. We assume that we are looking at an homogeneous portfolio where the number of claims over the time period till t is denoted by N (t) while the claim sizes are considered to form a sample from a distribution F . We assume that claim times and claim sizes are independent. We will give an overview of results dealing with the total claim amount and with ruin problems, both in infinite and in finite time. We will pay special attention to the differences that occur when the distribution F has either an exponentially bounded tail or when it is sub-exponential. This first case treats the situation where the claims are considered to be light-tailed while the second covers instances where claims are heavy-tailed. REINSURANCE When the underlying distribution is heavy-tailed, the insurance company might opt for reinsurance. Traditionally, reinsurance has been used as one possibility to share insurance risks between partners. In practice, reinsurance treaties have either a proportional or a non-proportional character. Nevertheless, the usual motive for reinsurance is the possible advent of large, even catastrophic claims. After treating these classical reinsurance treaties, it seems worthwhile to add another form of treaty, genuinely based on large claims and related to Extreme Value Analysis. The most well- known such treaty is ECOMOR, a reinsurance form introduced in 1950 by the French actuary Thépaut. Despite this long-standing existence, large claims reinsurance treaties have never enjoyed great popularity. We try to understand the reasons behind this lack of recognition. In particular, we derive some mathematical results about ECOMOR. Based on these results, we formulate some pro's and con's of this and other reinsurance treaties. Kind regards, Patty Koorn Eurandom P.O.Box 513 5600 MB Eindhoven The Netherlands tel. +31 40 247 81 22 fax. +31 40 247 81 90 e-mail [log in to unmask] www.eurandom.tue.nl Patty Koorn Eurandom P.O.Box 513 5600 MB Eindhoven The Netherlands tel. +31 40 247 81 22 fax. +31 40 247 81 90 e-mail [log in to unmask] www.eurandom.tue.nl You may leave the list at any time by sending the command SIGNOFF allstat to [log in to unmask], leaving the subject line blank.```