Reinsurance of large claims

S.A. Ladoucette, J.L. Teugels

    Research output: Contribution to journalArticleAcademicpeer-review

    15 Citations (Scopus)

    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.
    Original languageEnglish
    Pages (from-to)163-190
    JournalJournal of Computational and Applied Mathematics
    Volume186
    Issue number1
    DOIs
    Publication statusPublished - 2006

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