Dependence and the asymptotic behavior of large claims reinsurance

DOI10.1016/J.INSMATHECO.2008.08.007zbMath1152.91563OpenAlexW3122244039MaRDI QIDQ2518544

Bruce L. Jones, Alexandru V. Asimit

Publication date: 16 January 2009

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13135/1/Asimit%20and%20Jones%202008%20IME%20revised.pdf

zbMATH Keywords

tail probabilitylong-tailed distributiondependenceECOMOR and LCR reinsurance

Mathematics Subject Classification ID

Related Items (17)

Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Asymptotics for large claims reinsurance in a time-dependent renewal risk model ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Efficient expressions for moments of dependent random sums using copulas ⋮ Revisiting the product of random variables ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Measuring the tail risk: an asymptotic approach ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ Asymptotic results for conditional measures of association of a random sum ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Joint tail of ECOMOR and LCR reinsurance treaties ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

Cites Work

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• An introduction to copulas. Properties and applications
• Limit laws for random vectors with an extreme component
• Analysis of risk measures for reinsurance layers
• Reinsurance of large claims
• On Interchanging Limits and Integrals
• On a risk model with dependence between interclaim arrivals and claim sizes
• Largest Claims Reinsurance Premiums under Possible Claims Dependence
• Exponential Behavior in the Presence of Dependence in Risk Theory

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