Asymptotics of random contractions
نویسندگان
چکیده
منابع مشابه
Asymptotics of random contractions
In this paper we discuss the asymptotic behaviour of random contractions X = RS, where R, with distribution function F , is a positive random variable independent of S ∈ (0, 1). Random contractions appear naturally in insurance and finance. Our principal contribution is the derivation of the tail asymptotics of X assuming that F is in the max-domain of attraction of an extreme value distributio...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2010
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2010.08.006