We derive higher-order expansions of L-statistics of independent risks X_1,...,X_n under conditions on the underlying distribution function F.The new results are applied to derive the asymptotic expansions of ratios o...We derive higher-order expansions of L-statistics of independent risks X_1,...,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.展开更多
基金supported by the Swiss National Science Foundation(Grant Nos.2000211401633/1,200021-134785 and 200021-1401633/1)Marie Curie International Research Staff Exchange Scheme Fellowship within the 7th European Community Framework Programme(Grant No.RARE-318984)+1 种基金National Natural Science Foundation of China(Grant No.11171275)the Natural Science Foundation Project of Chongqing(Grant No.cstc2012jjA00029)
文摘We derive higher-order expansions of L-statistics of independent risks X_1,...,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.
