Asymptotics for ratios with applications to reinsurance

DOI10.1007/S11009-007-9020-ZMaRDI QIDQ2644306zbMATH OpenOpenAlexFDO

Authors Sophie Ladoucette, J. L. Teugels

Publication date 10 September 2007

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-007-9020-z

zbMATH Keywords

Domain of attraction of a stable lawDominance of summandsFunctions of regular variationLimit theoremsMomentsOrder statisticsSum of i.i.d. random variables

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Sums of independent random variables; random walks (60G50) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

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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Cited in

(6)

• On ratios of random variables and generalised mortality rates
• Asymptotic Dependence of Reinsurance Aggregate Claim Amounts
• Tail asymptotic expansions for \(L\)-statistics
• Some bounds for the expectations of functions on order statistics and their applications
• Asymptotic results for spacings of largest order statistics
• Distributional representations and dominance of a Lévy process over its maximal jump processes

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