Tail approximation for reinsurance portfolios of Gaussian-like risks

DOI10.1080/03461238.2013.825639MaRDI QIDQ4576800zbMATH OpenOpenAlexFDO

Authors Julia Farkas, Enkelejd Hashorva

Publication date 10 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.0595

zbMATH Keywords

asymptotic independenceGaussian-like risksproportional reinsuranceweak tail dependence coefficient

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a multiplier, the same as that of a standard Gaussian risk. We establish the tail asymptotic behavior of the total loss of each of the reinsurance portfolios and determine also the relation between randomly scaled Gaussian-like portfolios and unscaled ones. Further we show that jointly two portfolios of Gaussian-like risks exhibit asymptotic independence and their weak tail dependence coefficient is non-negative.

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Cited in

(9)

• Extremes of randomly scaled Gumbel risks
• Extremes of Gaussian random fields with regularly varying dependence structure
• A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
• Extremes of order statistics of stationary processes
• Tail asymptotics of random sum and maximum of log-normal risks
• Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
• Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
• Aggregation of log-linear risks

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