Chengguo Weng

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Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer cedes part of its loss, say f (X), to a reinsurer, and thus the insurer retains a loss I f (X) = X − f (X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium. Hence, the sum of the retained loss(More)
AMS subject classifications: 62E10 60E99 Keywords: Multivariate regular variation Copula Tail dependence function Multivariate subexponential distribution Multivariate long-tailed distribution a b s t r a c t The multivariate regular variation (MRV) is one of the most important tools in modeling multivariate heavy-tailed phenomena. This paper characterizes(More)
This paper establishes some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with constant interest rates, and individual net losses in R −α , the class of regular variation with index α > 0. The individual net losses are allowed to be generally dependent while they have zero index of upper tail dependence, so(More)
Under certain assumptions on the dependence structure of the residual lives of the in-sureds (independent, positively/negatively associated), in this paper we establish some laws of large numbers for the convex upper bounds, derived by the technique of comonotonicity, of the present value function of a homogenous portfolio composed of the whole-life(More)
(2013),"Optimal reinsurance analysis from a crop insurer's perspective", If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more(More)
I hereby declare that I am the sole author of this thesis. This is a true copy of the thesis, including any required final revisions, as accepted by my examiners. I understand that my thesis may be made electronically available to the public. ii Abstract In network information theory, the relay channel models a communication scenario where there is one or(More)
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