Reinsurance of large claims |
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| Institution: | 1. Katholieke Universiteit Leuven, Department of Mathematics, W. de Croylaan 54, B-3001 Leuven, Belgium;2. Katholieke Universiteit Leuven and EURANDOM, P.O. Box 513, 5600 MB Eindhoven, The Netherlands;1. Katholieke Universiteit LeuvenDepartment of Mathematics andUniversity Statistics Centrede Croylaan 543001 LeuvenBELGIUMK;2. Katholieke Universiteit LeuvenUniversity Statistics Centrede Croylaan 543001 LeuvenBELGIUM;3. Katholieke Universiteit LeuvenDepartment of Mathematics andUniversity Statistics Centrede Croylaan 543001 LeuvenBELGIUM;4. Katholieke Universiteit LeuvenDepartment of MathematicsCelestijnenlaan 200B3001 LeuvenBELGIUM;5. Center for Statistics Hasselt University Agoralaan - building D 3590 Diepenbeek BELGIUM |
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| Abstract: | The large claims reinsurance treaties ECOMOR and LCR are well known not to be very popular. They have been largely neglected by most reinsurers because of their technical complexity. In this paper, we derive new mathematical results connected to asymptotic problems of these reinsurance forms. Perhaps these results can reopen the discussion on the usefulness of including the largest claims in the decision making procedure. Apart from asymptotic estimates for the tail of the distribution of the ECOMOR-quantity, we find its weak laws. We also deal with the weak laws of the LCR-quantity. Finally, we illustrate the outcomes with a number of simulations. |
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