e*******c
发帖数: 2133 | 1 一般的life reinsurance都是XL on policy basis,就是说比如retention(p&c里叫
attachment point)是5million,那么face amount小于5m的就不再保出去，如果fa大于
5m,就保出去。请问如果是XL on aggregate basis,也叫stop loss insurance,这个一
般怎么model,怎么定价呢？好像stop loss有点像p&c reinsurance的coverage,就是只
管一个layer,比如a/e ratio 110%作为attachment point, 130%作为limit.
还有一般再保险给的价格都是% of VBT table(or other life tables),stop loss的难
道也给这个吗？还是直接给个数...
有劳解答，不胜感激，小弟顿首 | I**R
发帖数: 1309 | 2 stop loss is a special type of reinsurance in P&C
it sounds like an colletive risk model.
【在 e*******c 的大作中提到】
: 一般的life reinsurance都是XL on policy basis,就是说比如retention(p&c里叫
: attachment point)是5million,那么face amount小于5m的就不再保出去，如果fa大于
: 5m,就保出去。请问如果是XL on aggregate basis,也叫stop loss insurance,这个一
: 般怎么model,怎么定价呢？好像stop loss有点像p&c reinsurance的coverage,就是只
: 管一个layer,比如a/e ratio 110%作为attachment point, 130%作为limit.
: 还有一般再保险给的价格都是% of VBT table(or other life tables),stop loss的难
: 道也给这个吗？还是直接给个数...
: 有劳解答，不胜感激，小弟顿首
| e*******c
发帖数: 2133 | 3 First of all,actually, some life reinsurance companies do sell this kinda
coverage for protection of statistical fluctuation of number of claims(
frequency); Secondly, it's an collective risk model, and the most widely
used model is Penjer method(compound poisson process and recursive model,
but it has some drawback like p0 is too small for excel to handle if there
are a great number of inforce policies, so it may be feasible to use moments
method to fit a normal, or a mixture of gamma distributions to the data.
I am just talking about the theory of pricing，or modeling methodologies
here, I haven't done any real analysis to the inforce yet.
【在 I**R 的大作中提到】
: stop loss is a special type of reinsurance in P&C
: it sounds like an colletive risk model.
| z*f
发帖数: 139 | 4 They do have stop loss arrangement for Life business. Very common.
【在 I**R 的大作中提到】
: stop loss is a special type of reinsurance in P&C
: it sounds like an colletive risk model.
| I**R
发帖数: 1309 | 5 good to know. thanks!
【在 z*f 的大作中提到】
: They do have stop loss arrangement for Life business. Very common.
| e*******c
发帖数: 2133 | 6 Can u talk about the pricing methodology of it? thx!
【在 z*f 的大作中提到】
: They do have stop loss arrangement for Life business. Very common.
| z*f
发帖数: 139 | 7 This is a good article on stop loss reinsurance:
http://media.wiley.com/product_data/excerpt/63/04708467/0470846
Good luck.
【在 e*******c 的大作中提到】
: 一般的life reinsurance都是XL on policy basis,就是说比如retention(p&c里叫
: attachment point)是5million,那么face amount小于5m的就不再保出去，如果fa大于
: 5m,就保出去。请问如果是XL on aggregate basis,也叫stop loss insurance,这个一
: 般怎么model,怎么定价呢？好像stop loss有点像p&c reinsurance的coverage,就是只
: 管一个layer,比如a/e ratio 110%作为attachment point, 130%作为limit.
: 还有一般再保险给的价格都是% of VBT table(or other life tables),stop loss的难
: 道也给这个吗？还是直接给个数...
: 有劳解答，不胜感激，小弟顿首
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