The Greenwood statistic, stochastic dominance, clustering and heavy tails

2021 ◽  
Author(s):  
Marek Arendarczyk ◽  
Tomasz Kozubowski ◽  
Anna Panorska
Keyword(s):  
Stochastic Dominance ◽  
Heavy Tails

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

Do Commodities Provide Diversification Benefits? A Stochastic Dominance Efficiency Approach

2015 ◽  
Author(s):  
Charoula Daskalaki ◽  
George S. Skiadopoulos ◽  
Nikolas Topaloglou
Keyword(s):  
Stochastic Dominance
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