Article: article from journal or magazin.
ECOMOR and LCR reinsurance with gamma-like claims
Insurance: Mathematics and Economics
Assuming that the claim sizes of an insurance company have a common distribution with gamma-like tail, we study the asymptotic tail behaviour of the reinsured amounts under the ECOMOR and LCR reinsurance treaties, respectively. Our novel results include a precise asymptotic expansion for the tail probability of the reinsured amounts under the ECOMOR treaty and tight asymptotic bounds for the LCR case. As a by-product we derive a precise asymptotic expansion for the tail of the product of independent regularly varying random variables.
Asymptotics, Gamma-tail distributions, Reinsurance, LCR and ECOMOR treaties, Tail probabilities
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