Dependence and the asymptotic behavior of large claims reinsurance

被引：26

作者：

Asimit, Alexandru V. ^{[2
]}

Jones, Bruce L. ^{[1
]}

机构：

[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada

[2] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2008年 / 43卷 / 03期

关键词：

Dependence; ECOMOR and LCR reinsurance; Long-tailed distribution; Tail probability;

D O I：

10.1016/j.insmatheco.2008.08.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved,

引用

页码：407 / 411

页数：5

共 16 条

[1] Exponential behavior in the presence of dependence in risk theory [J].

Albrecher, H ;

Teugels, JL .

JOURNAL OF APPLIED PROBABILITY, 2006, 43 (01) :257-273

[2] A ruin model with dependence between claim sizes and claim intervals [J].

Albrecher, H ;

Boxma, OJ .

INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (02) :245-254

[3]

AMMETER H, 1964, Q LETT ALGEMEINE REI, P5

[4]

Bingham N. H., 1987, Regular Variation

[5]

Boudreault M., 2006, SCANDINAVIAN ACTUARI, V5, P265

[6]

CLINE DBH, 1986, PROBAB THEORY REL, V72, P529, DOI 10.1007/BF00344720

[7]

Embrechts P., 1997, Modelling extremal events for insurance and finance, DOI 10.1007/978-3-642-33483-2

[8] Limit laws for random vectors with an extreme component [J].

Heffernan, Janet E. ;

Resnick, Sidney I. .

ANNALS OF APPLIED PROBABILITY, 2007, 17 (02) :537-571

[9]

Khoudraji A., 1995, Contributions a l'etude des copules et a la modelisation de valeurs extremes bivariees

[10]

KREMER E, 1998, ASTIN BULL, V28, P257, DOI DOI 10.2143/AST.28.2.519069

← 1 2 →