Dependence and the asymptotic behavior of large claims reinsurance

Alexandru V. Asimit and Bruce L. Jones

Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 407-411

Abstract: 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 are provided in order to illustrate this.

Keywords: Dependence; ECOMOR; and; LCR; reinsurance; Long-tailed; distribution; Tail; probability (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:407-411

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