Joint Asymptotic Distributions of Smallest and Largest Insurance Claims

Joint Asymptotic Distributions of Smallest and Largest Insurance Claims

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace transform...

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Bibliographic Details
Main Authors:	Hansjörg Albrecher, Christian Y. Robert, Jef L. Teugels
Format:	Article
Language:	English
Published:	MDPI AG 2014-07-01
Series:	Risks
Subjects:	aggregate claims ammeter problem near mixed Poisson process reinsurance subexponential distributions extremes
Online Access:	http://www.mdpi.com/2227-9091/2/3/289

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