Tail asymptotic expansions for L-statistics

被引：0
|
作者：
Enkelejd Hashorva
ChengXiu Ling
ZuoXiang Peng
机构：
[1] University of Lausanne,Department of Actuarial Science, Faculty of Business and Economics
[2] Southwest University,School of Mathematics and Statistics
来源：
Science China Mathematics | 2014年 / 57卷
关键词：
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; 60E05; 60F99;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We derive higher-order expansions of L-statistics of independent risks X1, …,Xn 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.
引用
收藏
页码：1993 / 2012
页数：19
相关论文
共 50 条
12345