Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims |
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Authors: | Jun Jiang Qihe Tang |
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Affiliation: | a Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, Anhui, PR China b Department of Statistics and Actuarial Science, The University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242, USA |
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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 l−1 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. |
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Keywords: | Asymptotics Convolution-equivalence Exponential distribution LCR and ECOMOR treaties Reinsurance Tail probability |
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