On the asymptotic distribution of certain bivariate reinsurance treaties

DOI10.1016/j.insmatheco.2006.04.001zbMath1116.62114arXivmath/0603719OpenAlexW2009347812MaRDI QIDQ995497

Enkelejd Hashorva

Publication date: 3 September 2007

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

Full work available at URL: https://arxiv.org/abs/math/0603719

zbMATH Keywords

extreme value theoryasymptotic results\(m\)-dimensional \(\lambda\)-extremal variatebivariate random order statisticsbivariate treatiesgeneralised largest claims reinsurance treaty

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

Related Items (4)

On extremal behavior of aggregation of largest claims ⋮ ECOMOR and LCR reinsurance with gamma-like claims ⋮ Asymptotic results for conditional measures of association of a random sum ⋮ Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims

Cites Work

• Multivariate extreme values in stationary random sequences
• On the extreme order statistics for a stationary sequence
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Maxima of bivariate random vectors: Between independence and complete dependence
• Non-life insurance mathematics. An introduction with stochastic processes.
• On the number of near-maximum insurance claim under dependence.
• Multilevel clustering of extremes.
• Bivariate maximum insurance claim and related point processes
• On high level exceedance modeling and tail inference
• Laws of Small Numbers: Extremes and Rare Events
• Foundations of Modern Probability
• ON THE NUMBER OF RECORDS NEAR THE MAXIMUM
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