Asymptotic results for conditional measures of association of a random sum

DOI10.1016/j.insmatheco.2014.10.012zbMath1309.62103OpenAlexW3121129269MaRDI QIDQ2260940

Alexandru V. Asimit, Yiqing Chen

Publication date: 13 March 2015

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12171/1/Asimit_Chen_2014_final.pdf

zbMATH Keywords

order statisticsregular variationKendall's tauextreme value theorylong-tailed distributionSpearman's rhoGumbel tailPearson product-moment correlation coefficient

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70)

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On some new dependence models derived from multivariate collective models in insurance applications ⋮ Efficient expressions for moments of dependent random sums using copulas

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