Tail asymptotic expansions for L-statistics

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Serval ID
serval:BIB_3C07CE4D788A
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Tail asymptotic expansions for L-statistics
Journal
Science China Mathematics
Author(s)
Hashorva E., Ling C., Peng Z.
ISSN
1674-7283 (Print)
1869-1862 (Electronic)
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
57
Number
10
Pages
1993-2012
Language
english
Abstract
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.
Keywords
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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23/06/2014 15:44
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20/08/2019 13:32
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