Joint tail of ECOMOR and LCR reinsurance treaties

Liang Peng

Insurance: Mathematics and Economics, 2014, vol. 58, issue C, 116-120

Abstract: Researchers in actuarial sciences have investigated the tail behavior of the LCR and ECOMOR reinsurance treaties separately for managing extreme risks in reinsurance business. In practice, a reinsurance company may possess these two treaties simultaneously. Therefore, investigating the joint tail behavior of these two treaties is practically useful in risk management. This paper derives the asymptotic limit of the joint tail of these two reinsurance treaties under the setup of Jiang and Tang (2008).

Keywords: Asymptotic dependence; Claim size; Joint tail; Reinsurance treaty; Extremes (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:58:y:2014:i:c:p:116-120

DOI: 10.1016/j.insmatheco.2014.06.013

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