Paper: An Insight into the Excess of Loss Retention Limit

by: Maria de Lourdes Centeno

Journal: Scandinavian Actuarial Journal, 97-102

date: 1991

Abstract: In this paper we provide an algorithm to calculate the optimum retention of an excess of loss reinsurance arrangement of a risk, optimum in the sense that it maximizes the adjustment coefficient, assuming that the reinsurance premium is calculated according to the expected  value principle, the loading coefficient of which is dependent on the retention limit.