Reinsurance of large claims

DOI10.1016/j.cam.2005.03.069zbMath1120.62093MaRDI QIDQ2571225

Sophie A. Ladoucette, Jozef L. Teugels

Publication date: 1 November 2005

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2005.03.069

zbMATH Keywords

asymptotic behavior; heavy-tailed distribution; extreme value theory; reinsurance treaty; LCR; ECOMOR

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

Related Items

Asymptotics for large claims reinsurance in a time-dependent renewal risk model, Functional laws for trimmed Lévy processes, On transform orders for largest claim amounts, Stochastic comparisons of largest claim amounts from heterogeneous portfolios, Tail asymptotic expansions for \(L\)-statistics, Computing the mean and the variance of the cedent's share for largest claims reinsurance covers, Ratios of ordered points of point processes with regularly varying intensity measures, Multivariate matrix-exponential affine mixtures and their applications in risk theory, Asymptotic results for conditional measures of association of a random sum, On a family of risk measures based on largest claims, ECOMOR and LCR reinsurance with gamma-like claims, Analysis of risk measures for reinsurance layers, Joint tail of ECOMOR and LCR reinsurance treaties, Dependence and the asymptotic behavior of large claims reinsurance, Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims, Asymptotics for ratios with applications to reinsurance, Extremes on the discounted aggregate claims in a time dependent risk model, Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes

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