Approximations of Weyl fractional-order integrals with insurance applications
Mathematical Physics
2015-02-04 v1 math.MP
Probability
Abstract
In this paper, we investigate the approximations of generalized Weyl fractional-order integrals in extreme value theory framework. We present three applications of our asymptotic results concerning the higher-order tail approximations of deflated risks as well as approximations of Haezendonck-Goovaerts and expectile risk measures. Illustration of the obtained results is done by various examples and some numerical analysis.
Keywords
Cite
@article{arxiv.1502.00876,
title = {Approximations of Weyl fractional-order integrals with insurance applications},
author = {Chengxiu Ling and Zuoxiang Peng},
journal= {arXiv preprint arXiv:1502.00876},
year = {2015}
}