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

Alexandru V. Asimit and Bruce L. Jones

ASTIN Bulletin, 2008, vol. 38, issue 1, 147-159

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.

Date: 2008
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