Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. (English) Zbl 1169.91361
Summary: 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.
MSC:
| 91B28 | Finance etc. (MSC2000) |
| 91B30 | Risk theory, insurance (MSC2010) |
References:
| [1] | DOI: 10.1017/S0515036100013313 · doi:10.1017/S0515036100013313 |
| [2] | Modelling Extremal Events for Insurance and Finance (1997) · Zbl 0873.62116 |
| [3] | DOI: 10.2143/AST.36.2.2017926 · Zbl 1162.91395 · doi:10.2143/AST.36.2.2017926 |
| [4] | Insurance: Mathematics and Economics 41 pp 223– (2007) |
| [5] | Insurance: Mathematics and Economics 41 pp 53– (2007) |
| [6] | Quarterly Letter from the Algemeine Reinsurance Companies Jubilee 2 pp 5– (1964) |
| [7] | DOI: 10.1111/j.1467-9574.2007.00370.x · Zbl 1149.62042 · doi:10.1111/j.1467-9574.2007.00370.x |
| [8] | DOI: 10.1017/S0515036100014045 · doi:10.1017/S0515036100014045 |
| [9] | Insurance: Mathematics and Economics 35 pp 77– (2004) |
| [10] | DOI: 10.1007/s10687-006-0011-1 · Zbl 1142.60009 · doi:10.1007/s10687-006-0011-1 |
| [11] | Bulletin Trimestriel de l’Institut des Actuaries Français 49 pp 273– (1950) |
| [12] | Publications de l’Institut de Statistique de l’Université de Paris 8 pp 229– (1959) |
| [13] | Extreme Values, Regular Variation and Point Processes (1987) · Zbl 0633.60001 |
| [14] | An Introduction to Copulas. (1999) |
| [15] | DOI: 10.1007/BF01832852 · Zbl 0309.60012 · doi:10.1007/BF01832852 |
| [16] | Random Measures (1983) |
| [17] | DOI: 10.1023/B:EXTR.0000031180.93684.85 · Zbl 1049.62055 · doi:10.1023/B:EXTR.0000031180.93684.85 |
| [18] | DOI: 10.1017/S0001867800011770 · doi:10.1017/S0001867800011770 |
| [19] | Regular Variation. (1987) · Zbl 0617.26001 |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
