Date: Tuesday, 27 May 2025, at 12.30pm (CET)

Dual format: ESSEC Paris La Défense (CNIT), Room TBA
and via Zoom, please click here

Buying reinsurance individually or jointly for multiple business lines is practical and challenging, as there are no analytical solutions even when fitting a parametric distribution family to the losses. Using a quota-share reinsurance policy and Expected Shortfall risk measure, we propose a diversification measure, develop a nonstandard nonparametric inference for the diversification measure, derive its asymptotic limit, and use a random weighted bootstrap method to construct an interval. Hence, this paper provides a sound statistical solution to the above practical insurance question. We also discuss statistical solutions for the single excess-of-loss contract and present applications to insurance loss datasets.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, Marie Kratz and Riada Djebbar (Singapore Actuarial Society - ERM)