Article ID Journal Published Year Pages File Type
5077314 Insurance: Mathematics and Economics 2008 5 Pages PDF
Abstract

We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the reinsurance amount under ECOMOR and LCR treaties are obtained. Simulation results are provided in order to illustrate this.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Dependence and the asymptotic behavior of large claims reinsurance
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