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Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

  • Alexandru V. Asimit (a1) and Bruce L. Jones (a2)
Abstract

We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance amounts are obtained under certain assumptions about the dependence structure.

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References
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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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