Loading...
Please wait, while we are loading the content...
Asymptotic Dependence of Reinsurance Aggregate Claim Amounts
| Content Provider | Scilit |
|---|---|
| Author | Mata, Ana J. |
| Copyright Year | 2003 |
| Description | In this paper we study the asymptotic behaviour of the joint distribution of reinsurance aggregate claim amounts for large values of the retention level under various dependence assumptions. We prove that, under certain dependence assumptions, for large values of the retention level the ratio between the joint distribution of the aggregate losses and the product of the marginal distributions converges to a constant value that only depends on the frequency parameters. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/B7514CD4426EFCD16541BB510A2896C5/S0515036100013453a.pdf/div-class-title-asymptotic-dependence-of-reinsurance-aggregate-claim-amounts-div.pdf |
| Ending Page | 263 |
| Page Count | 25 |
| Starting Page | 239 |
| ISSN | 05150361 |
| e-ISSN | 17831350 |
| DOI | 10.1017/s0515036100013453 |
| Journal | ASTIN Bulletin |
| Issue Number | 2 |
| Volume Number | 33 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2003-11-01 |
| Access Restriction | Open |
| Subject Keyword | ASTIN Bulletin Mathematical Physics Dependent Risks Excess of Loss Reinsurance Layers Multivariate Panjer Recursion Asymptotic Independence |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
