Tail asymptotics of generalized deflated risks with insurance applications

Chengxiu Ling and Zuoxiang Peng

Insurance: Mathematics and Economics, 2016, vol. 71, issue C, 220-231

Abstract: Let X and S∈(0,1) be two independent risk variables. This paper investigates approximations of generalized deflated risks E{XκI{SX>x}} with a flexible constant κ≥0 under extreme value theory framework. Our findings are illustrated by three applications concerning higher-order tail approximations of deflated risks as well as approximations of the Haezendonck–Goovaerts and expectile risk measures. Numerical analyses show that higher-order approximations obtained in this paper significantly improve lower-order approximations.

Keywords: Deflated risks; Expectile; Haezendonck–Goovaerts risk measure; Second-order/third-order regular variations; Extreme value theory (search for similar items in EconPapers)
JEL-codes: C14 C65 G32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:71:y:2016:i:c:p:220-231

DOI: 10.1016/j.insmatheco.2016.09.012

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