Joint tail of ECOMOR and LCR reinsurance treaties
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Publication:2513625
DOI10.1016/J.INSMATHECO.2014.06.013zbMATH Open1304.91126OpenAlexW2091213808MaRDI QIDQ2513625FDOQ2513625
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
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Cites Work
- Statistics for near independence in multivariate extreme values
- Extreme value theory. An introduction.
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- Convolution tails, product tails and domains of attraction
- Dependence and the asymptotic behavior of large claims reinsurance
- Reinsurance of large claims
- A property of the generalized inverse Gaussian distribution with some applications
- Largest Claims Reinsurance Premiums under Possible Claims Dependence
- A test procedure for detecting super-heavy tails
- Finite formulae for the premium of the general reinsurance treaty based on ordered claims
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- ECOMOR and LCR reinsurance with gamma-like claims
- Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
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
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