کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076866 | 1374105 | 2013 | 10 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: ECOMOR and LCR reinsurance with gamma-like claims ECOMOR and LCR reinsurance with gamma-like claims](/preview/png/5076866.png)
- We study the asymptotic tail behaviour of the reinsured amounts for ECOMOR and LCR.
- The case of gamma-like claims is considered.
- Precise asymptotic formulae and tight asymptotic bounds are obtained for both treaties.
- The tails of two treaties have the same decay rate as that of the sums of i.i.d. claims.
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.
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 1, July 2013, Pages 206-215