Section: ArticlesTitle: Asymptotic results for conditional measures of association of a random sum / Alexandru V. AsimitAuthor: Asimit, Alexandru V.Notes: Sumario: Asymptotic results are obtained for several conditional measures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the results have confirmed the one-jump property of the risk model. Non-trivial limits are obtained when the dependence among the first two order statistics is considered. Our results help in understanding the extreme behaviour of well-known reinsurance treaties that involve only few large claims. Interestingly, the Pearson product-moment correlation coefficient between the first two order statistics provides an alternative procedure to estimate the tail index of the underlying distributionRelated records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 12/01/2015 Volumen 60 Número - enero 2015 Other categories: 6Rights: In Copyright (InC)Referencias externas:
