Tail Asymptotic Expansions for L-Statistics
classification
🧮 math.PR
stat.AP
keywords
expansionsasymptoticderiveappliedcapitalconditionsdistributionexcess
read the original abstract
In this paper, we derive higher-order expansions of $L$-statistics of independent risks $X_1, \ldots, X_n$ under conditions on the underlying distribution function $F$. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.