01726nas a2200145   4500008004100000245010200041210006900143260000900212300001200221490000700233520116600240653001701406100002101423856013601444       2001                        eng d00aRobustness of Conditional Moments: An Application to Premium Calculation for Reinsurance Treaties0 aRobustness of Conditional Moments An Application to Premium Calc  c2001  a225-2340 v213 aIn this study, the tail probability of a class of distributions commonly used in assessing the severity of insurance losses was examined. Without specifying any particular distribution, the use of an algebraic functional form Cx to approximate the tail behavior of the distributions in the class was demonstrated. Norwegian fire insurance data were examined, and the algebraic functional form was applied to derive the expected loss of a reinsurance treaty that covers all losses exceeding a retention limit. It was shown that (1) the expected loss is insensitive to the parameter á for a high retention limit (e.g., a catastrophe treaty), and (2) with a low retention limit (e.g., a largest claim treaty), a reliable estimate of the parameter á and a sound judgment on the maximum potential loss of the treaty could provide useful and defensible summary statistics for pricing the treaty. Thus, when dealing with the losses of certain reinsurance treaties, it was concluded that knowledge of a specific probability distribution is not critical, and the summary statistics derived from the model are robust with respect to a large class of loss distributions.10aSupply Chain1 aHsieh, Ping-Hung  uhttps://stage.business.oregonstate.edu/biblio/robustness-conditional-moments-application-premium-calculation-reinsurance-treaties-1