Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
| Year of publication: |
2013
|
|---|---|
| Authors: | Asimit, Alexandru Vali |
| Other Persons: | Jones, Bruce L. (contributor) |
| Publisher: |
[2013]: [S.l.] : SSRN |
| Subject: | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model |
| Description of contents: |
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
|
| Extent: | 1 Online-Ressource (13 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: ASTIN Bulletin, Volume 38, Issue 1, p.147-159, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 01, 2007 erstellt |
| Classification: | C10 - Econometric and Statistical Methods: General. General ; C60 - Mathematical Methods and Programming. General |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013076306