Title of article :
Dependence and the asymptotic behavior of large claims reinsurance
Author/Authors :
Asimit، نويسنده , , Alexandru V. and Jones، نويسنده , , Bruce L.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the reinsurance amount under ECOMOR and LCR treaties are obtained. Simulation results are provided in order to illustrate this.
Keywords :
Long-tailed distribution , ECOMOR and LCR reinsurance , dependence , Tail probability
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics