On the asymptotic distribution of certain bivariate reinsurance treaties
| dc.creator | Hashorva, Enkelejd | |
| dc.date | 2006-03-30 | |
| dc.date | 2006-05-17 | |
| dc.date.accessioned | 2026-07-07T08:07:41Z | |
| dc.date.available | 2026-07-07T08:07:41Z | |
| dc.description | Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive the joint asymptotic distribution of randomly indexed order statistics of the random sample (X_1,Y_1),(X_2,Y_2),...,(X_{N(t)},Y_{N(t)}) which is then used to obtain asymptotic representations for the joint distribution of two generalised largest claims reinsurance treaties available under specific insurance settings. As a by-product we obtain a stochastic representation of a m-dimensional Lambda-extremal variate in terms of iid unit exponential random variables. | |
| dc.description | 11 pages | |
| dc.identifier | https://arxiv.org/abs/math/0603719 | |
| dc.identifier | http://arxiv.org/abs/math/0603719 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/131016 | |
| dc.subject | Probability | |
| dc.subject | Statistics Theory | |
| dc.subject | '60G70 (Primary) 62P05 (Secondary)' | |
| dc.title | On the asymptotic distribution of certain bivariate reinsurance treaties | |
| dc.type | text |