Asymptotics for ratios with applications to reinsurance (Q2644306)
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English | Asymptotics for ratios with applications to reinsurance |
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Asymptotics for ratios with applications to reinsurance (English)
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10 September 2007
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This paper provides a detailed survey on the asymptotic behaviour of ratios of certain functionals of independent, identically distributed random variables involving sums, order statistics and extreme terms in the sense of modulus. The authors consider several modes of convergence such as convergence in distribution, in probability, with probability 1 and in mean of order \(r\geq 1\) as well. Special emphasis is put on the influence of the largest term of a sample on the sum under different assumptions on the sample distribution function. One of the first results in this direction goes back to \textit{D. A. Darling} [Trans. Am. Math. Soc. 73, 95--107 (1952; Zbl 0047.37502)] who gave a criterion for the convergence in probability to 1 of the ratio of the maximum to the sum in case of nonnegative random variables. Some of the reviewed asymptotic results are interpreted in the context of reinsurance problems. For example, necessary and sufficient conditions are derived ensuring the dominant influence of the so-called ECOMOR-quantity on the random sum representing the total claim amount up to time \(t\).
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Limit theorems
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Functions of regular variation
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Domain of attraction of a stable law
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Order statistics
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Sum of i.i.d. random variables
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Dominance of summands
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Moments
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