Modeling claim exceedances over thresholds.

DOI10.1016/S0167-6687(01)00097-XzbMath1055.91040MaRDI QIDQ1413301

Markos V. Koutras, Michael V. Boutsikas

Publication date: 16 November 2003

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

zbMATH Keywords

Poisson convergenceWeibull limit theoremCompound Poisson approximationMultiple scan statisticRisk model

Mathematics Subject Classification ID

Related Items (16)

Compound Poisson process approximation for locally dependent real-valued random variables via a new coupling inequality ⋮ A family of induced distributions ⋮ A simple compound scan statistic useful for modeling insurance and risk management problems ⋮ Bivariate two sample test based on exceedance statistics ⋮ On runs of length exceeding a threshold: normal approximation ⋮ On the distribution of the number of success runs in a continuous time Markov chain ⋮ Exact distribution of random order statistics and applications in risk management ⋮ Modeling of claim exceedances over random thresholds for related insurance portfolios ⋮ Counting certain binary strings ⋮ On success runs of length exceeded a threshold ⋮ On the asymptotic distribution of the discrete scan statistic ⋮ Unnamed Item ⋮ Asymptotic results for the multiple scan statistic ⋮ New maximal inequalities for N-demimartingales with scan statistic applications ⋮ Asymptotic results for jump probabilities associated to the multiple scan statistic ⋮ Structural, continuity, and asymptotic properties of a branching particle system

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