Largest claims reinsurance premiums under possible claims dependence

Document description

Largest claims reinsurance covers are reconsidered. A general new net premium bound is derived and specialized to the situation of Pareto-distributed claims sizes. Important is that the classical assumption of claims-size-independence is not basically assumed, the claims-sizes are allowed to be dependent. No assumptions on the dependence-structure are needed. In an example it is shown for the classical largest claims reinsurance cover that the new bound is quite useful. Closing the note something is said also on the ECOMOR–treaty.