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math.ST2011
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Abdelhakim Necir, Ričardas Zitikis
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, pract…
math.PR2011
Aggregate claims when their sizes and arrival times are dependent and governed by a general point process
Kristina P. Sendova, Ričardas Zitikis
We suggest a general method for analyzing aggregate insurance claims that arrive according to a very general point process, known in the literature as the order statistic point pro…