Tail asymptotic expansions for L-statistics

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_3C07CE4D788A
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Tail asymptotic expansions for L-statistics
Périodique
Science China Mathematics
Auteur⸱e⸱s
Hashorva E., Ling C., Peng Z.
ISSN
1674-7283 (Print)
1869-1862 (Electronic)
Statut éditorial
Publié
Date de publication
2014
Peer-reviewed
Oui
Volume
57
Numéro
10
Pages
1993-2012
Langue
anglais
Résumé
We derive higher-order expansions of L-statistics of independent risks X (1), aEuro broken vertical bar,X (n) under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions.
Mots-clé
Smoothly varying condition, Second-order regular variation, Tail asymptotics, Value-at-risk, Conditional tail expectation, Largest claims reinsurance, Ratio of risk measure, Excess return on capital
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Création de la notice
23/06/2014 16:44
Dernière modification de la notice
20/08/2019 14:32
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