Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions

DOI10.1016/J.INSMATHECO.2013.03.010zbMath1284.62211OpenAlexW1978291527MaRDI QIDQ2443235

Stéphane Girard, Armelle Guillou, El Hadji Dème

Publication date: 4 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.010

zbMATH Keywords

kernel estimatorsextreme valuesheavy-tailed distributionbias correctionProportional Hazard Premium

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (8)

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval ⋮ Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions ⋮ Portfolio risk analysis of excess of loss reinsurance ⋮ A robust estimator of the proportional hazard transform for massive data ⋮ Robust estimator of conditional tail expectation of Pareto-type distribution ⋮ Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution ⋮ Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• Kernel estimates of the tail index of a distribution
• Weighted empirical and quantile processes
• A simple general approach to inference about the tail of a distribution
• On exponential representations of log-spacings of extreme order statistics
• Kernel-type estimators for the extreme value index
• Tail index estimation and an exponential regression model
• Bias reduction and explicit semi-parametric estimation of the tail index
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Estimating a tail exponent by modelling departure from a Pareto distribution
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Statistical estimate of the proportional hazard premium of loss
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Comparison of tail index estimators
• The Dual Theory of Choice under Risk
• Applying the Proportional Hazard Premium Calculation Principle
• Empirical Estimation of Risk Measures and Related Quantities

This page was built for publication: Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions