Asymptotic Dependence of Reinsurance Aggregate Claim Amounts

Ana J. Mata

ASTIN Bulletin, 2003, vol. 33, issue 2, 239-263

Abstract: In this paper we study the asymptotic behaviour of the joint distribution of reinsurance aggregate claim amounts for large values of the retention level under various dependence assumptions. We prove that, under certain dependence assumptions, for large values of the retention level the ratio between the joint distribution of the aggregate losses and the product of the marginal distributions converges to a constant value that only depends on the frequency parameters.

Date: 2003
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