• 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
  • Pages
    5
  • From page
    407
  • To page
    411
  • 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
  • Serial Year
    2008
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543657

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1543657