Mortality rates are known to depend on socio-economic and behavioral risk factors, and actuarial calculations for life insurance policies usually reflect this. It is typically assumed, however, that these risk factors are observed only at policy issue, and the impact of changes that occur later...

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...