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Document Details : Title: Asymptotic Dependence on Reinsurance Aggregate Claim Accounts Author(s): MATA, Ana J. Journal: ASTIN Bulletin Volume: 33 Issue: 2 Date: November 2003 Pages: 239-263 DOI: 10.2143/AST.33.2.503692 Abstract : In this paper we study the asymptotic behaviour of the joint distribution of reinsurance aggregate claim amounts for large values of the retention level under various dependence assumptions. We prove that, under certain dependence assumptions, for large values of the retention level the ratio between the joint distribution of the aggregate losses and the product of the marginal distributions converges to a constant value that only depends on the frequency parameters. |
