On extremal behavior of aggregation of largest claims

DOI10.1080/03610926.2015.1006787zbMath1366.62194OpenAlexW2531904709MaRDI QIDQ2980148

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1006787

zbMATH Keywords

asymptotics reinsurance long-tailed distribution random weights ECOMOR reinsurance dominated-varying tailed distribution largest claim

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields

Cites Work

On the ruin probability in a dependent discrete time risk model with insurance and financial risks
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Extremes and products of multivariate AC-product risks
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On beta-product convolutions
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
An Introduction to Heavy-Tailed and Subexponential Distributions
The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
Moving averages with random coefficients and random coefficient autoregressive models
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
Sums of Dependent Nonnegative Random Variables with Subexponential Tails
Regularly varying functions

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