Asymptotics for ratios with applications to reinsurance (Q2644306)

From MaRDI portal
Revision as of 07:57, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
scientific article
Language Label Description Also known as
English
Asymptotics for ratios with applications to reinsurance
scientific article

    Statements

    Asymptotics for ratios with applications to reinsurance (English)
    0 references
    0 references
    0 references
    10 September 2007
    0 references
    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 \(t\).
    0 references
    Limit theorems
    0 references
    Functions of regular variation
    0 references
    Domain of attraction of a stable law
    0 references
    Order statistics
    0 references
    Sum of i.i.d. random variables
    0 references
    Dominance of summands
    0 references
    Moments
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references