Asymptotic results for conditional measures of association of a random sum

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      <subfield code="a">Asimit, Alexandru V.</subfield>
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      <subfield code="a">Asymptotic results for conditional measures of association of a random sum</subfield>
      <subfield code="c">Alexandru V. Asimit</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">12/01/2015 Volumen 60 Número  - enero 2015 </subfield>
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