Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts |
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Authors: | Abdelhakim Necir Djamel Meraghni |
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Institution: | aLaboratory of Applied Mathematics, Mohamed Khider University, Biskra, Algeria |
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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. |
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Keywords: | Extreme values Heavy tails Hill estimator L-statistics Risk premium |
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