Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077317 | Insurance: Mathematics and Economics | 2008 | 6 Pages |
Abstract
Suppose that, over a fixed time interval of interest, an insurance portfolio generates a random number of independent and identically distributed claims. Under the LCR treaty the reinsurance covers the first l largest claims, while under the ECOMOR treaty it covers the first lâ1 largest claims in excess of the lth largest one. Assuming that the claim sizes follow an exponential distribution or a distribution with a convolution-equivalent tail, we derive some precise asymptotic estimates for the tail probabilities of the reinsured amounts under both treaties.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jun Jiang, Qihe Tang,