Tail Asymptotic Expansions for L-Statistics
Probability
2014-10-08 v1 Applications
Abstract
In this paper, we derive higher-order expansions of -statistics of independent risks under conditions on the underlying distribution function . 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.
Cite
@article{arxiv.1402.6302,
title = {Tail Asymptotic Expansions for L-Statistics},
author = {E. Hashorva and C. Ling and Z. Peng},
journal= {arXiv preprint arXiv:1402.6302},
year = {2014}
}