Asymptotic results for conditional measures of association of a random sum
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DOI: 10.1016/j.insmatheco.2014.10.012
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References listed on IDEAS
- Jiang, Jun & Tang, Qihe, 2008. "Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 431-436, December.
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- Hansjörg Albrecher & Christian Y. Robert & Jef L. Teugels, 2014. "Joint Asymptotic Distributions of Smallest and Largest Insurance Claims," Risks, MDPI, vol. 2(3), pages 1-26, July.
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Keywords
Extreme Value Theory; Long-tailed distribution; Gumbel tail; Kendall’s tau; Order statistics; Pearson product-moment correlation coefficient; Regular variation; Spearman’s rho;All these keywords.
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