previous article in this issue | next article in this issue |
Document Details : Title: Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks Author(s): ASIMIT, Alexandru V. , JONES, Bruce L. Journal: ASTIN Bulletin Volume: 38 Issue: 1 Date: May 2008 Pages: 147-159 DOI: 10.2143/AST.38.1.2030407 Abstract : We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance amounts are obtained under certain assumptions about the dependence structure. |