Dependence and the asymptotic behavior of large claims reinsurance |
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| Institution: | 1. Department of Statistics, University of Toronto, 100 St. George Street, Toronto, Ontario, Canada M5S 3G3;2. Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, Canada N6A 5B7;1. Cass Business School, City University, London EC1Y 8TZ, United Kingdom;2. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, 100081, China;1. Institute of Applied Mathematics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;2. Institute of Mathematics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;1. School of Statistics and Mathematics, Zhejiang Gongshang University, 310018, PR China;2. School of Mathematical Sciences, Soochow University, Suzhou, 215006, PR China;3. School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, PR China;1. Faculty of Fundamental Sciences, Vilnius Gediminas Technical University, Saulėtekio al. 11, Vilnius LT-10223, Lithuania;2. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania |
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| 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. |
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