an:06900963
Zbl 1398.62294
Farkas, Julia; Hashorva, Enkelejd
Tail approximation for reinsurance portfolios of Gaussian-like risks
EN
Scand. Actuar. J. 2015, No. 4, 319-331 (2015).
00342978
2015
j
62P05 91B30 62G20 62G32
Gaussian-like risks; proportional reinsurance; asymptotic independence; weak tail dependence coefficient
Summary: We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a multiplier, the same as that of a standard Gaussian risk. We establish the tail asymptotic behavior of the total loss of each of the reinsurance portfolios and determine also the relation between randomly scaled Gaussian-like portfolios and unscaled ones. Further, we show that jointly two portfolios of Gaussian-like risks exhibit asymptotic independence and their weak tail dependence coefficient is nonnegative.