Abstract
In this paper we study the effect of different dependence structures on the distribution of total losses when the reinsurer undertakes excess of loss for two or more dependent portfolios. We also study the asymptotic behaviour of the joint distribution of the reinsurance aggregate chain amounts for large values of the deductible for each dependence structure.
Keywords: Dependent risks, reinsurance layers, multivariate Panjer recursions, asymptotic independence.
Volume
Washington
Year
2001
Categories
Financial and Statistical Methods
Simulation
Copulas/Multi-Variate Distributions
Business Areas
Reinsurance
Excess (Non-Proportional);
Financial and Statistical Methods
Loss Distributions
Extreme Values
Financial and Statistical Methods
Aggregation Methods
Panjer
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Publications
ASTIN Colloquium
