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2 results

  • Discussion of the Danish Data on Large Fire Insurance Losses

  • Sidney I. Resnick
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 27 / Issue 1 / May 1997
    Published online by Cambridge University Press:
    29 August 2014, pp. 139-151
    Print publication:
    May 1997
    • Article
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  • Alexander McNeil's (1996) study of the Danish data on large fire insurance losses provides an excellent example of the use of extreme value theory in an important application context. We point out how several alternate statistical techniques and plotting devices can buttress McNeil's conclusions and provide flexible tools for other studies.

  • Some thoughts on stationary processes and linear time series analysis

  • C. C. Heyde
  • Journal:
    Journal of Applied Probability / Volume 25 / Issue A / 1988
    Published online by Cambridge University Press:
    14 July 2016, pp. 309-318
    Print publication:
    1988

  • In this paper we trace the development of the asymptotic analysis of autocorrelations for stationary purely non-deterministic time series. We emphasize the interplay between mathematical requirements and modelling philosophy. We then proceed to extend the theory to the case where only a certain weak form of asymptotic independence of the linear prediction errors is needed rather than the earlier martingale difference or independence requirements.