Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks
Asimit, A.V. & 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: | Bayes Business School > Actuarial Science & Insurance |
| Related URLs: | |
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