On the asymptotic distribution of certain bivariate reinsurance treaties

Détails

ID Serval
serval:BIB_2A3D896729A5
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On the asymptotic distribution of certain bivariate reinsurance treaties
Périodique
Insurance: Mathematics and Economics
Auteur⸱e⸱s
Hashorva E.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2007
Peer-reviewed
Oui
Volume
40
Numéro
2
Pages
200-208
Langue
anglais
Résumé
Let {(X-n, Y-n), n >= 1} be bivariate random claim sizes with common distribution function F and let {N(t), t >= 0} be a stochastic process which counts the number of claims that occur in the time interval [0, t], t >= 0. In this paper we derive the joint asymptotic distribution of randomly indexed order statistics of the random sample (X-1, Y-1), (X-2, Y-2), ... , (X-N ((t)), Y-N (t)) which is then used to obtain asymptotic representations for the joint distribution of two generalised largest claims reinsurance treaties available under specific insurance settings. As a by-product we obtain a stochastic representation of a m-dimensional Lambda-extremal variate in terms of iid unit exponential random variables.
Mots-clé
Generalised largest claims reinsurance treaty, Bivariate random order statistics, Bivariate treaties, Asymptotic results, Extreme value theory, m-Dimensional Lambda-Extremal variate
Web of science
Création de la notice
03/09/2010 10:34
Dernière modification de la notice
20/08/2019 13:09
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