38 research outputs found
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 transforms of the normalised sums of the smallest and largest claims, when the length of the considered time interval tends to infinity. The results crucially depend on the value of the tail index of the claim distribution, as well as on the number of largest claims under consideration
The encyclopedia of actuarial science
We give a short historical survey on why and how the Encyclopedia has emerged. We consider both the editorial and the managerial side of the project. We indicate some of the special features of the work