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

DOI10.2143/AST.38.1.2030407zbMath1169.91361OpenAlexW3121686676MaRDI QIDQ3395767

Alexandru V. Asimit, Bruce L. Jones

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030407

zbMATH Keywords

tail probabilityArchimedean copuladependenceECOMOR and LCR reinsurance

Mathematics Subject Classification ID

Related Items (11)

Asymptotics for large claims reinsurance in a time-dependent renewal risk model ⋮ Extremes for a general contagion risk measure ⋮ Efficient expressions for moments of dependent random sums using copulas ⋮ On extremal behavior of aggregation of largest claims ⋮ ECOMOR and LCR reinsurance with gamma-like claims ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ A generalization of the power law distribution with nonlinear exponent ⋮ Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims ⋮ On sufficient conditions for the comparison in the excess wealth order and spacings ⋮ Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims

Cites Work

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• A probabilistic interpretation of complete monotonicity
• Tail dependence from a distributional point of view
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Diversification for general copula dependence
• On the Tail Behavior of Sums of Dependent Risks

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