Asymptotics for large claims reinsurance in a time-dependent renewal risk model

Jinzhu Li

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 2, 172-183

Abstract: We study the asymptotic tail behaviour of reinsured amounts of the LCR and ECOMOR treaties under a time-dependent renewal risk model, in which a dependence structure is introduced between each claim size and the interarrival time before it. Assuming that the claim size distribution has a subexponential tail, we derive some precise asymptotic results for both treaties.

Date: 2015
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DOI: 10.1080/03461238.2013.804002

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