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Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

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  • Asimit, Alexandru V.
  • Jones, Bruce L.

Abstract

We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance amounts are obtained under certain assumptions about the dependence structure.

Suggested Citation

  • Asimit, Alexandru V. & Jones, Bruce L., 2008. "Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 147-159, May.
    • Handle: RePEc:cup:astinb:v:38:y:2008:i:01:p:147-159_01
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    Cited by:

    1. Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca, 2011. "Asymptotics for risk capital allocations based on Conditional Tail Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 310-324.
    2. Hashorva, Enkelejd & Li, Jinzhu, 2013. "ECOMOR and LCR reinsurance with gamma-like claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 206-215.
    3. Jiang, Jun & Tang, Qihe, 2008. "Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 431-436, December.

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