1. CAS Ratemaking Seminar Rick Anderson
Pricing Catastrophe Reinsurance With Reinstatement Provisions Using a Catastrophe Model
CAS Ratemaking Seminar Rick Anderson
Chief Actuary March 11, 1999

2. Introduction Reinstatement provisions Event Loss Table (ELT)
Reinstatements limited by aggregate losses
Summary
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3. Reinstatement Provisions
Based on number of occurrences or aggregate losses
Free or paid
Pro rata to full limit
Pro rata to full time
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4. Event Loss Table Basic output of catastrophe model
A table listing the possible events that affect the portfolio, along with the associated frequency and severity information
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5. Event Loss Table
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6. Reinstatements Limited by Aggregate Losses
Estimating the expected loss requires the aggregate loss distribution
Panjer’s recursive approach
Fourier transforms
Simulation
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7. Aggregate Loss Distribution
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8. Limited Expected Value
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9. Expected Loss for the Treaty
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10. Expected Premium
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11. Fair Up-Front Premium Rate
Set expected premium equal to expected loss:
Solve for R:
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12. Comparison of Results
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13. Summary
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