Author:
Beirlant Jan,Teugels Jozef L.
Abstract
LetX(1)≦X(2)≦ ·· ·≦X(N(t))be the order statistics of the firstN(t) elements from a sequence of independent identically distributed random variables, where {N(t);t≧ 0} is a renewal counting process independent of the sequence ofX's. We give a complete description of the asymptotic distribution of sums made from the topktextreme values, for any sequencektsuch thatkt→ ∞,kt/t→ 0 ast→ ∞. We discuss applications to reinsurance policies based on large claims.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
17 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献