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Asymptotic results for conditional measures of association of a random sum

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  • Asimit, Alexandru V.
  • Chen, Yiqing

Abstract

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.

Suggested Citation

  • Asimit, Alexandru V. & Chen, Yiqing, 2015. "Asymptotic results for conditional measures of association of a random sum," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 11-18.
    • Handle: RePEc:eee:insuma:v:60:y:2015:i:c:p:11-18
    DOI: 10.1016/j.insmatheco.2014.10.012
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    References listed on IDEAS

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    1. Hashorva, Enkelejd, 2007. "On the asymptotic distribution of certain bivariate reinsurance treaties," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 200-208, March.
    2. 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.
    3. Peng, Liang, 2014. "Joint tail of ECOMOR and LCR reinsurance treaties," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 116-120.
    4. Hashorva, Enkelejd & Li, Jinzhu, 2013. "ECOMOR and LCR reinsurance with gamma-like claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 206-215.
    5. 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.
    6. Asimit, Alexandru V. & Jones, Bruce L., 2008. "Dependence and the asymptotic behavior of large claims reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 407-411, December.
    7. Christian Yann Robert & Hansjörg Albrecher & Jef Teugels, 2014. "Joint Asymptotic Distributions of Smallest and Largest Insurance Claims," Post-Print hal-02006777, HAL.
    8. Tang, Qihe & Yang, Fan, 2012. "On the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 217-227.
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