Skip to main content
×
Home
    • Aa
    • Aa

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.

  • View HTML
    • Send article to Kindle

      To send this article to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle.

      Note you can select to send to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

      Find out more about the Kindle Personal Document Service.

      Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
      Available formats
      ×
      Send article to Dropbox

      To send this article to your Dropbox account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your Dropbox account. Find out more about sending content to Dropbox.

      Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
      Available formats
      ×
      Send article to Google Drive

      To send this article to your Google Drive account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your Google Drive account. Find out more about sending content to Google Drive.

      Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
      Available formats
      ×
Copyright
Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

H. Albrecher , S. Asmussen and D. Kortschak (2006) “Tail Asymptotics for the Sum of Two Heavy-Tailed Dependent Risks”, Extremes, 9(2), 107130.

S. Alink , M. Löwe and M.V. Wüthrich (2005) “Analysis of the Expected Shortfall of Aggregate Dependent Risks”, ASTIN Bulletin, 35(1), 2543.

S. Alink , M. Löwe and M.V. Wüthrich (2007) “Diversification for General Copula Dependence”, Statistica Neerlandica, 61(4), 446465.

P. Barbe , A.-L. Fougères and C. Genest (2006) “On the Tail Behavior of Sums of Dependent Risks”, ASTIN Bulletin, 36(2), 361373.

N.H. Bingham , C.M. Goldie , and J.L. Teugels (1987) Regular Variation. Cambridge University Press, Cambridge.

P. Embrechts , C. Klüppelberg and T. Mikosch (1997) Modelling Extremal Events for Insurance and Finance. Springer-Verlag, Berlin.

A. Juri and M.V. Wütrich (2003) “Tail dependence from a distributional point of view”, Extremes, 6(3), 213246.

C.H. Kimberling (1974) “A Probabilistic Interpretation of Complete Monotonicity”, Aequationes Mathematica, 10, 152164.

R.B. Nelsen (1999) An Introduction to Copulas. Springer-Verlag, New York.

S.I. Resnick (1987) Extreme Values, Regular Variation and Point Processes. Springer-Verlag, New York.

M.V. Wüthrich (2003) “Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables”, ASTIN Bulletin, 33(1), 7592.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×

Keywords:

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 73 *
Loading metrics...

Abstract views

Total abstract views: 45 *
Loading metrics...

* Views captured on Cambridge Core between September 2016 - 22nd September 2017. This data will be updated every 24 hours.