Bias-corrected estimation in distortion risk premiums for heavy-tailed losses

zbMath1258.91095MaRDI QIDQ1941213

Fatima Meddi, Abdelhakim Necir, Brahim Brahimi

Publication date: 12 March 2013

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1359744270

zbMATH Keywords

order statisticsbias reductiontail indexrisk measureHill estimatorhigh quantilesL-statisticssecond order regular variationLévy-stable distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (3)

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics

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