Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims

Jun Jiang and Qihe Tang

Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 431-436

Abstract: Suppose that, over a fixed time interval of interest, an insurance portfolio generates a random number of independent and identically distributed claims. Under the LCR treaty the reinsurance covers the first l largest claims, while under the ECOMOR treaty it covers the first l-1 largest claims in excess of the lth largest one. Assuming that the claim sizes follow an exponential distribution or a distribution with a convolution-equivalent tail, we derive some precise asymptotic estimates for the tail probabilities of the reinsured amounts under both treaties.

Keywords: Asymptotics; Convolution-equivalence; Exponential; distribution; LCR; and; ECOMOR; treaties; Reinsurance; Tail; probability (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:431-436

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