loss model - Bosna RE
loss model - Bosna RE
loss model - Bosna RE
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Simple Stochastic Model for Large Losses<br />
Fictitious Example for Green Card XL Reinsurance<br />
• Reinsurance for 3 layers:<br />
1. Layer: 200.000 EUR xs 200.000 EUR<br />
2. Layer: 600.000 EUR xs 400.000 EUR<br />
3. Layer: unlimited xs 1.000.000 EUR.<br />
• Data:<br />
new contract period: 2009<br />
same portfolio for 10 years<br />
<strong>loss</strong> history for the years 1999 – 2008:<br />
complete list of all <strong>loss</strong>es above 100.000 EUR.<br />
What is the price for reinsurance?<br />
Problem: We do not know the future <strong>loss</strong>es.<br />
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