ECOMOR and LCR reinsurance with gamma-like claims

DOI10.1016/j.insmatheco.2013.05.004zbMath1284.62640OpenAlexW2093427832MaRDI QIDQ2446002

Jinzhu Li, Enkelejd Hashorva

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_DA6EFD7EACD3.P001/REF.pdf

zbMATH Keywords

asymptoticstail probabilitiesreinsurancegamma-tail distributionsLCR and ECOMOR treaties

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items

Asymptotics of convolution with the semi-regular-variation tail and its application to risk, Asymptotics for a discrete-time risk model with Gamma-like insurance risks, ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK, Asymptotic results on tail moment for light-tailed risks, On extremal behavior of aggregation of largest claims, Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes, Asymptotic results for conditional measures of association of a random sum, The long-term behavior of number of near-maximum insurance claims, Joint tail of ECOMOR and LCR reinsurance treaties

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