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Dependence and the asymptotic behavior of large claims reinsurance

Asimit, A.V. and Jones, B. (2008). Dependence and the asymptotic behavior of large claims reinsurance. Insurance: Mathematics and Economics, 43(3), pp. 407-411. doi: 10.1016/j.insmatheco.2008.08.007

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.

Publication Type: Article
Additional Information: © 2008, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: Dependence; ECOMOR and LCR reinsurance; Long-tailed distribution; 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/13135
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