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.

I applaud the article as it is exactly the type of reaction to my editorial in Astin Bulletin 32(2) that I hoped to provoke. [Hans Bühlmann]<p>

This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as references unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales.

Based on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the economic risk capital of a risky business over some time period required to cover losses with a high probability. These functionals are consistent with the risk...