Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims

On sufficient conditions for the comparison in the excess wealth order and spacings

“…We apply this result to the ECOMOR reinsurance treaty proposed by Thépaut (1950) and studied, among others, by Embrechts et al (1997) and Jiang and Tang (2008). Following Asimit and Jones (2008), we consider a portfolio of n insurance contracts with associated i.i.d.…”

ECOMOR and LCR reinsurance with gamma-like claims

“…Asimit and Jones (2008) proposed to fix time t and investigate the tail asymptotics of these treaties. Precise results in this direction are derived by Jiang and Tang (2008) for exponential claims and claims with a convolutionequivalent tail, i.e., claims in the class S(γ). The latter paper motivates this contribution, which is concerned with the asymptotic analysis of both treaties with gamma-like claims (see the definition below).…”

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

“…Up to now, however, there are only few results on risk assessment for portfolios of objects with losses following light-tailed distributions. Jiang and Tang [21] study the asymptotic behavior of losses for independently and identically exponentially distributed claims. Since they consider all claims with the same parameter of an exponential distribution, the aggregated claim (system loss) follows an Erlang distribution.…”

“…Moreover, we allow for different risk classes with distinct tail parameters for the asymptotic distributions of losses on different objects, which is a more general setting than the commonly met assumption on tail-equivalent risks for either light-or heavy-tailed losses as e.g. in Jiang and Tang [21], Kley et al [23,24], Mitra and Resnick [32]. Hence, our study covers a broad class of light-tailed distributions in the context of portfolio risk sharing.…”