Bivariate maximum insurance claim and related point processes

Enkelejd Hashorva

Statistics & Probability Letters, 2004, vol. 69, issue 2, 117-128

Abstract: Let X1,X2,... be independent bivariate claim sizes arising from an insurance portfolio. The number of claims occurring in the time interval [0,t] is denoted by N(t). We investigate in this paper distributional and asymptotic properties of the following point process:with XN(t):N(t), the bivariate maximum insurance claim occurring during [0,t]. We show that are strongly consistent estimators of a certain tail probability of the claim size distribution. Further, we investigate the connection between convergence in distribution of the bivariate maximum claim size and weak convergence of . As a byproduct, a result for the ECOMOR reinsurance treaty is obtained.

Keywords: The; number; of; bivariate; records; Bivariate; maximum; insurance; claim; Point; processes; Asymptotic; results; ECOMOR; reinsurance; treaty (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (8)

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