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arXiv · 1402.6302

Tail Asymptotic Expansions for L-Statistics

E. Hashorva·C. Ling·Z. Peng
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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.

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BibTeXRIS

E. Hashorva, C. Ling, Z. Peng. 2014-02-25. Tail Asymptotic Expansions for L-Statistics. https://doi.org/10.1007/s11425-014-4841-z

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