Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077620 | Insurance: Mathematics and Economics | 2007 | 9 Pages |
Abstract
Let {(Xn,Yn),nâ¥1} be bivariate random claim sizes with common distribution function F and let {N(t),tâ¥0} be a stochastic process which counts the number of claims that occur in the time interval [0,t],tâ¥0. In this paper we derive the joint asymptotic distribution of randomly indexed order statistics of the random sample (X1,Y1),(X2,Y2),â¦,(XN(t),YN(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 Î-extremal variate in terms of iid unit exponential random variables.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Enkelejd Hashorva,