Asymptotics for large claims reinsurance in a time-dependent renewal risk model

作者：Li, Jinzhu^*

来源：Scandinavian Actuarial Journal, 2015, 2015(2): 172-183.

DOI：10.1080/03461238.2013.804002

• subexponential
• dependence
• LCR and ECOMOR treaties
• reinsurance
• asymptotics

We study the asymptotic tail behaviour of reinsured amounts of the LCR and ECOMOR treaties under a time-dependent renewal risk model, in which a dependence structure is introduced between each claim size and the interarrival time before it. Assuming that the claim size distribution has a subexponential tail, we derive some precise asymptotic results for both treaties.

• 单位
  南开大学