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Dependence and the asymptotic behavior of large claims reinsurance

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

Abstract

We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the reinsurance amount under ECOMOR and LCR treaties are obtained. Simulation results are provided in order to illustrate this.

Suggested Citation

  • Asimit, Alexandru V. & Jones, Bruce L., 2008. "Dependence and the asymptotic behavior of large claims reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 407-411, December.
    • Handle: RePEc:eee:insuma:v:43:y:2008:i:3:p:407-411
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    References listed on IDEAS

    as
    1. Ladoucette, Sophie A. & Teugels, Jef L., 2006. "Analysis of risk measures for reinsurance layers," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 630-639, June.
    2. Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
    3. Kremer, Erhard, 1998. "Largest Claims Reinsurance Premiums under Possible Claims Dependence," ASTIN Bulletin, Cambridge University Press, vol. 28(2), pages 257-267, November.
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    Cited by:

    1. Peng, Liang, 2014. "Joint tail of ECOMOR and LCR reinsurance treaties," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 116-120.
    2. Yang, Yang & Jiang, Tao & Wang, Kaiyong & Yuen, Kam C., 2020. "Interplay of financial and insurance risks in dependent discrete-time risk models," Statistics & Probability Letters, Elsevier, vol. 162(C).
    3. Guo, Fenglong, 2022. "Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors," Applied Mathematics and Computation, Elsevier, vol. 413(C).
    4. Asimit, Alexandru V. & Chen, Yiqing, 2015. "Asymptotic results for conditional measures of association of a random sum," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 11-18.
    5. Li, Jinzhu, 2016. "Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 195-204.
    6. Cheng, Ming & Konstantinides, Dimitrios G. & Wang, Dingcheng, 2022. "Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims," Applied Mathematics and Computation, Elsevier, vol. 434(C).

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