Tail asymptotic expansions for L-statistics

DOI10.1007/S11425-014-4841-ZzbMATH Open1328.62084arXiv1402.6302OpenAlexW3103787534MaRDI QIDQ477271FDOQ477271

Zuoxiang Peng, Enkelejd Hashorva, Chengxiu Ling

Publication date: 3 December 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Abstract: In this paper, we derive higher-order expansions of $L$-statistics of independent risks $X_1,ldots,X_n$ under conditions on the underlying distribution function $F$. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively.

Full work available at URL: https://arxiv.org/abs/1402.6302

zbMATH Keywords

value-at-risktail asymptoticssecond-order regular variationconditional tail expectationexcess return on capitallargest claims reinsuranceratio of risk measuresmoothly varying condition

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

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Cited In (10)

• Tail probabilities of the limiting null distributions of the Anderson--Stephens statistics
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• On the use of asymptotic expansion in computing the null distribution of page's L-statistic
• Extremes for coherent risk measures
• Second-order asymptotics for convolution of distributions with light tails
• Right tail asymptotic expansion of Tracy-Widom beta laws
• Complete asymptotic expansions for normal extremes
• Title not available (Why is that?)
• Tail asymptotics under beta random scaling
• Second-order asymptotics of the risk concentration of a portfolio with deflated risks

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