Hashorva, Enkelejd; Li, Jinzhu - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 206-215
Assuming that the claim sizes of an insurance company have a common distribution with gamma-like tail, we study the asymptotic tail behaviour of the reinsured amounts under the ECOMOR and LCR reinsurance treaties, respectively. Our novel results include a precise asymptotic expansion for the...
