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Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Authors:Abdelhakim Necir  Djamel Meraghni
Institution:aLaboratory of Applied Mathematics, Mohamed Khider University, Biskra, Algeria
Abstract:The asymptotic normality of the sample proportional hazard premium for heavy-tailed claim amounts with infinite variance cannot be obtained by classical results for L-statistics. In this paper, we propose an alternative estimator for this class of premiums and we establish its asymptotic normality.
Keywords:Extreme values  Heavy tails  Hill estimator  L-statistics  Risk premium
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