XL-class

show,XL-method

object

An S4 class to represent an Excess of Loss Treaty

Application of reinsurance treaties to claims portfolios.
The package creates a class Claims whose objective is to
store claims and premiums, on which different treaties can be applied.
A statistical analysis can then be applied to measure the impact of
reinsurance, producing a table or graphical output. This package can
be used for estimating the impact of reinsurance on several portfolios
or for pricing treaties through statistical analysis. Documentation
for the implemented methods can be found in "Reinsurance: Actuarial
and Statistical Aspects" by Hansj<c3><b6>erg Albrecher, Jan Beirlant,
Jozef L. Teugels (2017, ISBN: 978-0-470-77268-3) and
"REINSURANCE: A Basic Guide to Facultative and Treaty Reinsurance"
by Munich Re (2010) <https://www.munichre.com/site/mram/get/documents_E96160999/mram/assetpool.mr_america/PDFs/3_Publications/reinsurance_basic_guide.pdf>.

Arnaud Buzzi

reinsureR

Reinsurance Treaties Application

XL-class function

<ul>
<li><code>show</code>: Excess of Loss Treaty: show method</li>
</ul>

Methods (by generic)

<dl class="dl-horizontal">
<dt><code>ded</code></dt><dd>Numeric. Deductible amount of the treaty. Should be superior to 0.</dd></dl><dt><code>lim</code></dt><dd>Numeric. Limit amount for the treaty. Should be superior to 0. May be equal to <code>Inf</code>.</dd><dt><code>aal</code></dt><dd>Numeric. Annual Aggregate Deductible amount of the treaty. Should be superior to 0.</dd><dt><code>aad</code></dt><dd>Numeric. Annual Aggregate Limit amount for the treaty. Should be superior to 0. May be equal to <code>Inf</code>.</dd><dt><code>rns</code></dt><dd>Numeric vector. Reinstatement prices. Vector of lentgh equals to the number of reinstatements with each value equals the price of the reinstatement.</dd><dt><code>prm</code></dt><dd>Numeric. Premium rate, which represents the proportion of the premium given to the reinsurer as price for the treaty. Should be between 0 and 1.</dd><dt><code>ptf</code></dt><dd>Vector. List of portfolios on which the treaty is to be applied on.</dd><dt><code>trt</code></dt><dd>Character. Always equal to "SL". Identifier for the type of treaty</dd>

XL-class: Excess of Loss Treaty

Description

Usage

Arguments

Methods (by generic)

Slots