Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
ASTIN Bulletin, Volume 38, Issue 1, p.147-159, 2007
13 Pages Posted: 11 Sep 2013
Date Written: December 01, 2007
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
JEL Classification: C10, C60
Suggested Citation: Suggested Citation
Asimit, Alexandru Vali and Jones, Bruce L., Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks (December 01, 2007). ASTIN Bulletin, Volume 38, Issue 1, p.147-159, 2007, Available at SSRN: https://ssrn.com/abstract=2323536
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