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Asymptotic Dependence of Reinsurance Aggregate Claim Amounts

Published online by Cambridge University Press:  17 April 2015

Ana J. Mata
Ana J. Mata*
Affiliation:
CNA Re 1 , 333. S. Wabash Av., 39th floor, Chicago IL 60604, USA Heriot-Watt University, United Kingdom
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Abstract

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In this paper we study the asymptotic behaviour of the joint distribution of reinsurance aggregate claim amounts for large values of the retention level under various dependence assumptions. We prove that, under certain dependence assumptions, for large values of the retention level the ratio between the joint distribution of the aggregate losses and the product of the marginal distributions converges to a constant value that only depends on the frequency parameters.

Keywords

Dependent risksexcess of lossreinsurance layersmultivariate Panjer recursionasymptotic independence
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 2 , November 2003 , pp. 239 - 263
Copyright
Copyright © ASTIN Bulletin 2003

Footnotes

*

e-mail: ana.mata@cnare.com

1

The statements, analysis and opinions set forth in this article are solely those of the author and do not reflect the statements, opinions or analysis of any third party, including Continental Casualty Company or any of its subsidiary or affiliated companies.

References

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