Dependence and the Asymptotic Behavior of Large Claims Reinsurance
13 Pages Posted: 11 Sep 2013
Date Written: March 22, 2007
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: Dependence, ECOMOR and LCR reinsurance, Long-tailed distribution, Tail probability
JEL Classification: C10, C60
Suggested Citation: Suggested Citation