ECOMOR and LCR reinsurance with gamma-like claims
From MaRDI portal
Publication:2446002
DOI10.1016/j.insmatheco.2013.05.004zbMath1284.62640MaRDI QIDQ2446002
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
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G32: Statistics of extreme values; tail inference
Related Items
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, Asymptotics of convolution with the semi-regular-variation tail and its application to risk, 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, On extremal behavior of aggregation of largest claims, Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Cites Work
- Asymptotics of random contractions
- Exact tail asymptotics in bivariate scale mixture models
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- On the asymptotic distribution of certain bivariate reinsurance treaties
- Extreme value theory for moving average processes
- A ratio limit theorem for the tails of weighted sums
- Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
- Reinsurance of large claims
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
- Convolution equivalence and infinite divisibility
- Regularly varying functions
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