کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077339 | 1374126 | 2010 | 10 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Asymptotics of random contractions Asymptotics of random contractions](/preview/png/5077339.png)
In this paper we discuss the asymptotic behaviour of random contractions X=RS, where R, with distribution function F, is a positive random variable independent of Sâ(0,1). Random contractions appear naturally in insurance and finance. Our principal contribution is the derivation of the tail asymptotics of X assuming that F is in the max-domain of attraction of an extreme value distribution and the distribution function of S satisfies a regular variation property. We apply our result to derive the asymptotics of the probability of ruin for a particular discrete-time risk model. Further we quantify in our asymptotic setting the effect of the random scaling on the Conditional Tail Expectations, risk aggregation, and derive the joint asymptotic distribution of linear combinations of random contractions.
Journal: Insurance: Mathematics and Economics - Volume 47, Issue 3, December 2010, Pages 405-414