Tail approximation for reinsurance portfolios of Gaussian-like risks

Julia Farkas and Enkelejd Hashorva

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 4, 319-331

Abstract: We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a multiplier, the same as that of a standard Gaussian risk. We establish the tail asymptotic behavior of the total loss of each of the reinsurance portfolios and determine also the relation between randomly scaled Gaussian-like portfolios and unscaled ones. Further, we show that jointly two portfolios of Gaussian-like risks exhibit asymptotic independence and their weak tail dependence coefficient is nonnegative.

Date: 2015
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DOI: 10.1080/03461238.2013.825639

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