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.
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|
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.
- 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.
- 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.
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.
If references are entirely missing, you can add them using this form.