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Tail asymptotic expansions for L-statistics
Science China Mathematics
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.
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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