Tail Asymptotics of Deflated Risks

Random deflated risk models have been considered in recent literatures. In this paper, we investigate second-order tail behavior of the deflated risk X=RS under the assumptions of second-order regular variation on the survival functions of the risk R and the deflator S. Our findings are applied to approximation of Value at Risk, estimation of small tail probability under random deflation and tail asymptotics of aggregated deflated riskComment: 2

Tail asymptotic expansions for L-statistics

We derive higher-order expansions of L-statistics of independent risks X (1), aEuro broken vertical bar,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. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions

Modeling of censored bivariate extremal events

In this paper we consider the estimation of the coefficient of tail dependence and of small tail probability under a bivariate randomly censoring mechanism. A new class of generalized moment estimators of the coefficient of tail dependence and the estimator of small tail probability are proposed, respectively. Under the bivariate Hall-type conditions, the asymptotic distributions of these estimators are established. Monte Carlo simulations are performed and the new estimators are applied to an insurance data-set

Collective effects of multi-scatterer on coherent propagation of photon in a two dimensional network

We study the collective phenomenon in the scattering of a single-photon by one or two layers of two-level atoms. By modeling the photon dispersion with a two-dimensional (2D) coupled cavity array, we analytically derive the scattering probability of a single-photon. It is discovered that in the case with one layer of atoms, the atomic collective excitation leads to a shift for the single-photon scattering spectrum. Such a shift is related to the density of the atomic ensemble. For the case with two layers of atoms, an inter-layer effective coupling appears and induces an electromagnetic-induced-transparency-like phenomenon for the single-photon scattering. Our result provides a new scheme of analyzing photon coherent transport in 2D and may help to understand the current experiments about the high energy photon scattering by the layer nuclei material.Comment: 9 pages, 6 figure