Joint tail of ECOMOR and LCR reinsurance treaties

DOI10.1016/J.INSMATHECO.2014.06.013MaRDI QIDQ2513625zbMATH OpenOpenAlexFDO

Authors Liang Peng

Publication date 28 January 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2014.06.013

zbMATH Keywords

extremesreinsurance treatyasymptotic dependenceclaim sizejoint tail

Mathematics Subject Classification ID

Recommendations

• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• ECOMOR and LCR reinsurance with gamma-like claims
• Reinsurance of large claims
• The Largest Claims Treaty ECOMOR
• Dependence and the asymptotic behavior of large claims reinsurance

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• scientific article; zbMATH DE number 3058338 (Why is no real title available?)
• A property of the generalized inverse Gaussian distribution with some applications
• A test procedure for detecting super-heavy tails
• Convolution tails, product tails and domains of attraction
• Dependence and the asymptotic behavior of large claims reinsurance
• ECOMOR and LCR reinsurance with gamma-like claims
• Extreme value theory. An introduction.
• Finite formulae for the premium of the general reinsurance treaty based on ordered claims
• Largest Claims Reinsurance Premiums under Possible Claims Dependence
• Reinsurance of large claims
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• Statistics for near independence in multivariate extreme values

Cited in

(7)

• The Largest Claims Treaty ECOMOR
• Reinsurance of large claims
• Asymptotic results for conditional measures of association of a random sum
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• ECOMOR and LCR reinsurance with gamma-like claims
• On some new dependence models derived from multivariate collective models in insurance applications
• Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes

This page was built for publication: Joint tail of ECOMOR and LCR reinsurance treaties

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2513625)