Hua, Lei; Joe, Harry - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 537-546
expectation (CTE) under the condition of second order regular variation (2RV). First, the closed-form second order approximation … approximation is affected by only the regular variation index −α of marginal survivor functions, while the second order … approximation is influenced by both the parameters for first and second order regular variation, and the rate of convergence to the …