Artikel
Joint asymptotic distributions of smallest and largest insurance claims
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace transforms of the normalised sums of the smallest and largest claims, when the length of the considered time interval tends to infinity. The results crucially depend on the value of the tail index of the claim distribution, as well as on the number of largest claims under consideration.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 3 ; Pages: 289-314 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
aggregate claims
ammeter problem
near mixed Poisson process
reinsurance
subexponential distributions
extremes
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Albrecher, Hansjörg
Robert, Christian Yann
Teugels, Jezef L.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2014
- DOI
-
doi:10.3390/risks2030289
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Albrecher, Hansjörg
- Robert, Christian Yann
- Teugels, Jezef L.
- MDPI
Entstanden
- 2014
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