ECOMOR and LCR reinsurance with gamma-like claims

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Version: author
Serval ID
serval:BIB_DA6EFD7EACD3
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
ECOMOR and LCR reinsurance with gamma-like claims
Journal
Insurance: Mathematics and Economics
Author(s)
Hashorva E., Li J.
ISSN
0167-6687 (Print)
Publication state
Published
Issued date
2013
Peer-reviewed
Oui
Volume
53
Number
1
Pages
206-215
Language
english
Abstract
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.
Keywords
Asymptotics, Gamma-tail distributions, Reinsurance, LCR and ECOMOR treaties, Tail probabilities
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Create date
09/05/2013 11:59
Last modification date
20/08/2019 15:59
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