Asymptotic results for conditional measures of association of a random sum

DOI10.1016/J.INSMATHECO.2014.10.012zbMATH Open1309.62103OpenAlexW3121129269MaRDI QIDQ2260940FDOQ2260940

Authors: Alexandru V. Asimit, Yiqing Chen 

Publication date: 13 March 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12171/1/Asimit_Chen_2014_final.pdf

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zbMATH Keywords

extreme value theoryKendall's tauregular variationSpearman's rhoorder statisticslong-tailed distributionGumbel tailPearson product-moment correlation coefficient

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)

Cites Work

• An introduction to copulas.
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• An Introduction to Heavy-Tailed and Subexponential Distributions
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• On the Haezendonck-Goovaerts risk measure for extreme risks
• Asymptotic normality of location invariant heavy tail index estimator
• Likelihood based confidence intervals for the tail index
• Dependence and the asymptotic behavior of large claims reinsurance
• Reinsurance of large claims
• Limit distributions for compounded sums of extreme order statistics
• On the asymptotic distribution of certain bivariate reinsurance treaties
• ECOMOR and LCR reinsurance with gamma-like claims
• Joint tail of ECOMOR and LCR reinsurance treaties
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims

Cited In (2)

• On some new dependence models derived from multivariate collective models in insurance applications
• Efficient expressions for moments of dependent random sums using copulas

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