Asymptotic results for conditional measures of association of a random sum

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<title>Asymptotic results for conditional measures of association of a random sum</title>
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<namePart>Asimit, Alexandru V.</namePart>
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<abstract displayLabel="Summary">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 distribution</abstract>
<note type="statement of responsibility">Alexandru V. Asimit</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>12/01/2015 Volumen 60 Número  - enero 2015 </text>
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