Joint tail of ECOMOR and LCR reinsurance treaties
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DOI: 10.1016/j.insmatheco.2014.06.013
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References listed on IDEAS
- 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.
- Hashorva, Enkelejd & Li, Jinzhu, 2013. "ECOMOR and LCR reinsurance with gamma-like claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 206-215.
- Kremer, Erhard, 1985. "Finite formulae for the premium of the general reinsurance treaty based on ordered claims," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 233-238, October.
- Anthony W. Ledford & Jonathan A. Tawn, 1997. "Modelling Dependence within Joint Tail Regions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 475-499.
- 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.
- 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:
- 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.
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Keywords
Asymptotic dependence; Claim size; Joint tail; Reinsurance treaty; Extremes;All these keywords.
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