Bivariate maximum insurance claim and related point processes
Let X1,X2,... be independent bivariate claim sizes arising from an insurance portfolio. The number of claims occurring in the time interval [0,t] is denoted by N(t). We investigate in this paper distributional and asymptotic properties of the following point process:with XN(t):N(t), the bivariate maximum insurance claim occurring during [0,t]. We show that are strongly consistent estimators of a certain tail probability of the claim size distribution. Further, we investigate the connection between convergence in distribution of the bivariate maximum claim size and weak convergence of . As a byproduct, a result for the ECOMOR reinsurance treaty is obtained.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 69 (2004)
Issue (Month): 2 (August)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hashorva, Enkelejd & Hüsler, Jürg, 2001. "On the number of points near the multivariate maxima," Statistics & Probability Letters, Elsevier, vol. 55(2), pages 113-124, November.
- Li, Y. & Pakes, Anthony G., 2001. "On the number of near-maximum insurance claims," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 309-323, June.
- Hashorva, Enkelejd, 2003. "On the number of near-maximum insurance claim under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 37-49, February.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:69:y:2004:i:2:p:117-128. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.