Escudero, Laureano F.; Ortega, Eva-María - In: Insurance: Mathematics and Economics 43 (2008) 2, pp. 255-262
In this note, we consider an extension of the largest claims reinsurance treaty (LCR) with random upper thresholds for the claim sizes, that we call retention levels. The Laplace transform order for insurer's aggregate claims is obtained assuming dependence among the random retention levels....