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

Published online by Cambridge University Press:  17 April 2015

Alexandru V. Asimit  and
Bruce L. Jones
Alexandru V. Asimit
Affiliation:
Department of Statistics – University of Toronto, 100 St. George St. – Toronto, Ontario, Canada M5S 3G3, E-mail: vali@utstat.toronto.edu
Bruce L. Jones
Affiliation:
Department of Statistical and Actuarial Sciences – University of Western Ontario, London, Ontario – Canada N6A 5B7, Tel.: 519-661-3149, Fax: 519-661-3813, E-mail: jones@stats.uwo.ca
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Abstract

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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.

Keywords

Archimedean copulaDependenceECOMOR and LCR reinsuranceTail probability
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 1 , May 2008 , pp. 147 - 159
Copyright
Copyright © ASTIN Bulletin 2008

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