Limit distributions for compounded sums of extreme order statistics

Limit distributions for compounded sums of extreme order statistics

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Article ID: iaor1994382
Country: Israel
Volume: 29
Issue: 3
Start Page Number: 557
End Page Number: 574
Publication Date: Sep 1992
Journal: Journal of Applied Probability
Authors: ,
Keywords: statistics: distributions
Abstract:

Let equ1 be the order statistics of the first equ2 elements from a sequence of independent identically distributed random variables, where equ3 is a renewal counting process independent of the sequence of X's. The authors give a complete description of the asymptotic distribution of sums made from the top equ4 extreme values, for any sequence equ5 such that equ6, equ7 as equ8 They discuss applications to reinsurance policies based on large claims.

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