On extremal behavior of aggregation of largest claims

DOI10.1080/03610926.2015.1006787MaRDI QIDQ2980148zbMATH OpenOpenAlexFDO

Authors Yuquan Cang, Yang Yang

Publication date 27 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1006787

zbMATH Keywords

asymptoticsdominated-varying tailed distributionECOMOR reinsurancelargest claimlong-tailed distributionrandom weightsreinsurance

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Aggregation of randomly weighted large risks
• Tail behavior of weighted sums of order statistics of dependent risks
• Asymptotic behavior of extremal events for aggregate dependent random variables
• On the Tail Behavior of Sums of Dependent Risks
• Extreme value behavior of aggregate dependent risks

Cites work

• An Introduction to Heavy-Tailed and Subexponential Distributions
• Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Characterizations and examples of hidden regular variation
• ECOMOR and LCR reinsurance with gamma-like claims
• Exact tail asymptotics of aggregated parametrised risk
• Extremes and products of multivariate AC-product risks
• Limit theory for bilinear processes with heavy-tailed noise
• Moving averages with random coefficients and random coefficient autoregressive models
• On beta-product convolutions
• On the asymptotic distribution of certain bivariate reinsurance treaties
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Regularly varying functions
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Subexponentiality of the product of independent random variables
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Tail asymptotics under beta random scaling
• Tail behavior of the product of two dependent random variables with applications to risk theory
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
• The maximum of randomly weighted sums with long tails in insurance and finance
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Cited in

(5)

• On the tail behaviour of aggregated random variables
• The Largest Claims Treaty ECOMOR
• Extremes of aggregated Dirichlet risks
• Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields
• Aggregation of randomly weighted large risks

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