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Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks

Asimit, A.V. and Jones, B. (2008). Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. ASTIN Bulletin, 38(1), pp. 147-159. doi: 10.2143/AST.38.1.2030407

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.

Publication Type: Article
Additional Information: Copyright Cambridge Journals, 2008. Content and layout follow Cambridge University Press’s submission requirements. This version may have been revised following peer review but may be subject to further editorial input by Cambridge University Press.
Publisher Keywords: Archimedean copula, Dependence, ECOMOR and LCR reinsurance, Tail probability
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
Related URLs:
URI: http://openaccess.city.ac.uk/id/eprint/13133
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