Dependence and the asymptotic behavior of large claims reinsurance

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.

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Year of publication:	2008
Authors:	Asimit, Alexandru V. ; Jones, Bruce L.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 3, p. 407-411
Publisher:	Elsevier
Keywords:	Dependence ECOMOR and LCR reinsurance Long-tailed distribution Tail probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005374924