Dependence and the asymptotic behavior of large claims reinsurance |
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| Authors: | Alexandru V. Asimit |
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| Affiliation: | a Department of Statistics, University of Toronto, 100 St. George Street, Toronto, Ontario, Canada M5S 3G3
b Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, Canada N6A 5B7 |
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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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| Keywords: | Dependence ECOMOR and LCR reinsurance Long-tailed distribution Tail probability |
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