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arXiv 1502.00876math-phmath.MPmath.PR
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Approximations of Weyl fractional-order integrals with insurance applications

Chengxiu Ling, Zuoxiang Peng

英文摘要:

In this paper, we investigate the approximations of generalized Weyl fractional-order integrals in extreme value theory framework. We present three applications of our asymptotic results concerning the higher-order tail approximations of deflated risks as well as approximations of Haezendonck-Goovaerts and expectile risk measures. Illustration of the obtained results is done by various examples and some numerical analysis.

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