Asymptotics for large claims reinsurance in a time-dependent renewal risk model

DOI10.1080/03461238.2013.804002zbMath1398.91340OpenAlexW2145290190MaRDI QIDQ4576778

Jinzhu Li

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.804002

zbMATH Keywords

asymptoticsreinsurancedependencesubexponentialLCR and ECOMOR treaties

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (6)

Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure ⋮ Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model ⋮ Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes

Cites Work

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• Asymptotics for risk capital allocations based on conditional tail expectation
• Asymptotics in a time-dependent renewal risk model with stochastic return
• An introduction to copulas.
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Dependence and the asymptotic behavior of large claims reinsurance
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• Reinsurance of large claims
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

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