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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

See all articles by Alexandru Vali Asimit

Alexandru Vali Asimit

City University London - The Business School

Bruce L. Jones

University of Western Ontario - Department of Statistical and Actuarial Sciences

Date Written: December 01, 2007

Abstract

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

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JEL Classification: C10, C60

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

Alexandru Vali Asimit

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Bruce L. Jones (Contact Author)

University of Western Ontario - Department of Statistical and Actuarial Sciences ( email )

1151 Richmond Street
Suite 2
London, Ontario N6A 5B7
Canada
519-661-3149 (Phone)
519-661-3813 (Fax)

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