On the asymptotic distribution of certain bivariate reinsurance treaties

DOI10.1016/j.insmatheco.2006.04.001zbMath1116.62114arXivmath/0603719MaRDI 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 theory; asymptotic results; \(m\)-dimensional \(\lambda\)-extremal variate; bivariate random order statistics; bivariate treaties; generalised largest claims reinsurance treaty

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G30: Order statistics; empirical distribution functions

Related Items

Asymptotic results for conditional measures of association of a random sum, ECOMOR and LCR reinsurance with gamma-like claims, Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims

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