Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

Abstract
We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance amounts are obtained under certain assumptions about the dependence structure.

Keywords: Archimedean copula, Dependence, ECOMOR and LCR reinsurance, Tail probability.

Volume
Vol. 38, No. 1
Page
147-159
Year
2008
Categories
Business Areas
Reinsurance
Publications
ASTIN Bulletin
Authors
Bruce R Jones