We study the asymptotic behavior of the Gerber-Shiu expected discounted penalty function in the renewal risk model. Under the assumption that the claim-size distribution has a convolution-equivalent density function, which allows both heavy-tailed and light-tailed cases, we establish some...

Suppose that, over a fixed time interval of interest, an insurance portfolio generates a random number of independent and identically distributed claims. Under the LCR treaty the reinsurance covers the first l largest claims, while under the ECOMOR treaty it covers the first l-1 largest claims...

In this paper we study the tail probability of discounted aggregate claims in a continuous-time renewal model. For the case that the common claim-size distribution is subexponential, we obtain an asymptotic formula, which holds uniformly for all time horizons within a finite interval. Then, with...

For a risk variable X and a normalized Young function φ(⋅), the Haezendonck–Goovaerts risk measure for X at level q∈(0,1) is defined as Hq[X]=infx∈R(x+h), where h solves the equation E[φ((X−x)+/h)]=1−q if Pr(Xx)0 or is 0 otherwise. In a recent work, we implemented an asymptotic...

In this article, we show that some important implications concerning comonotonic couples and corresponding convex order relations for their sums cannot be translated to counter-monotonicity in general. In a financial context, it amounts to saying that merging counter-monotonic positions does not...