ECOMOR and LCR reinsurance with gamma-like claims

Détails

Ressource 1Télécharger: BIB_DA6EFD7EACD3.P001.pdf (364.71 [Ko])
Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_DA6EFD7EACD3
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
ECOMOR and LCR reinsurance with gamma-like claims
Périodique
Insurance: Mathematics and Economics
Auteur(s)
Hashorva E., Li J.
ISSN
0167-6687 (Print)
Statut éditorial
Publié
Date de publication
2013
Peer-reviewed
Oui
Volume
53
Numéro
1
Pages
206-215
Langue
anglais
Résumé
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.
Mots-clé
Asymptotics, Gamma-tail distributions, Reinsurance, LCR and ECOMOR treaties, Tail probabilities
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Création de la notice
09/05/2013 12:59
Dernière modification de la notice
03/03/2018 21:54
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