Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks-Reference-Cited by-同舟云学术

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

Published:2008-05 Issue:1 Volume:38 Page:147-159
ISSN:0515-0361
Container-title:ASTIN Bulletin
language:en
Short-container-title:ASTIN Bull.

Author:

Asimit Alexandru V.,Jones Bruce L.

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.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

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