ECOMOR and LCR reinsurance with gamma-like claims

Enkelejd Hashorva and Jinzhu Li

Insurance: Mathematics and Economics, 2013, vol. 53, issue 1, 206-215

Abstract: Assuming that the claim sizes of an insurance company have a common distribution with gamma-like tail, we study the asymptotic tail behaviour of the reinsured amounts under the ECOMOR and LCR reinsurance treaties, respectively. Our novel results include a precise asymptotic expansion for the tail probability of the reinsured amounts under the ECOMOR treaty and tight asymptotic bounds for the LCR case. As a by-product we derive a precise asymptotic expansion for the tail of the product of independent regularly varying random variables.

Keywords: Asymptotics; Gamma-tail distributions; Reinsurance; LCR and ECOMOR treaties; Tail probabilities (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:1:p:206-215

DOI: 10.1016/j.insmatheco.2013.05.004

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