Statistical estimate of the proportional hazard premium of loss under random censoring
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Publication:281457
zbMATH Open1338.62152arXiv1602.02605MaRDI QIDQ281457
Louiza Soltane, Djamel Meraghni, Abdelhakim Necir
Publication date: 11 May 2016
Published in: Afrika Statistika (Search for Journal in Brave)
Abstract: Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored. The asymptotic normality of the proposed estimator is established under suitable conditions and its performance evaluated through sets of simulated data.
Full work available at URL: https://arxiv.org/abs/1602.02605
random censoringheavy tailsKaplan-Meier estimatorHill estimatorproportional hazard premiumreinsurance treaty
Applications of statistics to actuarial sciences and financial mathematics (62P05) Censored data models (62N01) Statistics of extreme values; tail inference (62G32)
Related Items (4)
Statistical estimate of the proportional hazard premium of loss ⋮ Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions ⋮ Estimating the conditional tail expectation of randomly right-censored heavy-tailed data ⋮ Unnamed Item
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