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

Asimit, Alexandru V.; Jones, Bruce L.

doi:10.2143/ast.38.1.2030407

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Application To Ecomor Reinsurance Treaty1

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Cited by 10 publications

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“…We apply this result to the ECOMOR reinsurance treaty proposed by Thépaut (1950) and studied, among others, by Embrechts et al (1997) and Jiang and Tang (2008). Following Asimit and Jones (2008), we consider a portfolio of n insurance contracts with associated i.i.d. loss random variables X i , i = 1, .…”

Section: Application To Ecomor Reinsurance Treatymentioning

confidence: 96%

On sufficient conditions for the comparison in the excess wealth order and spacings

et al. 2016

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The purpose of this paper is twofold. On the one hand, we provide sufficient conditions for the excess wealth order. These conditions are based on properties of the quantile functions which are useful when the dispersive order does not hold. On the other hand, we study sufficient conditions for the comparison in the increasing convex order of spacings of generalized order statistics. These results will be combined to show how we can provide comparisons of quantities of interest in reliability and insurance.

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Section: Application To Ecomor Reinsurance Treatymentioning

confidence: 96%

On sufficient conditions for the comparison in the excess wealth order and spacings

et al. 2016

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Tail asymptotic expansions for L-statistics

2014

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Efficient expressions for moments of dependent random sums using copulas

Jiang

Nadarajah

2019

Journal of Computational and Applied Mathematics

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Mao and Zhao [IMA Journal of Management Mathematics, 25, 2014, 421-433] derived the mean and variance of a dependent random sum, where the dependence was specified by a copula. Here, we derive expressions for the general moment of the dependent random sum. We also extend Mao and Zhao's results to the case that the components of the sum are not identically distributed. The practical usefulness of the results (in terms of computational time and computational accuracy) is examined by simulation.

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

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.

Cited by 10 publications

References 21 publications

On sufficient conditions for the comparison in the excess wealth order and spacings

On sufficient conditions for the comparison in the excess wealth order and spacings

Tail asymptotic expansions for L-statistics

Efficient expressions for moments of dependent random sums using copulas

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