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Tail approximation for reinsurance portfolios of Gaussian-like risks

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  • Julia Farkas
  • Enkelejd Hashorva

Abstract

We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a multiplier, the same as that of a standard Gaussian risk. We establish the tail asymptotic behavior of the total loss of each of the reinsurance portfolios and determine also the relation between randomly scaled Gaussian-like portfolios and unscaled ones. Further, we show that jointly two portfolios of Gaussian-like risks exhibit asymptotic independence and their weak tail dependence coefficient is nonnegative.

Suggested Citation

  • Julia Farkas & Enkelejd Hashorva, 2015. "Tail approximation for reinsurance portfolios of Gaussian-like risks," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2015(4), pages 319-331, May.
    • Handle: RePEc:taf:sactxx:v:2015:y:2015:i:4:p:319-331
    DOI: 10.1080/03461238.2013.825639
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