Statistical estimate of the proportional hazard premium of loss

DOI10.1080/03461230601162323zbMath1150.91027OpenAlexW1971009438MaRDI QIDQ3505339

Fatima Meddi, Djamel Meraghni, Abdelhakim Necir

Publication date: 18 June 2008

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230601162323

zbMATH Keywords

risk aversion indexreinsurance premiumsemi-parametric estimatorestimation of premiumproportional hazard premium principle

Mathematics Subject Classification ID

Related Items (13)

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Estimation of the distortion risk premium for heavy-tailed losses under serial dependence ⋮ Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ Estimating L-functionals for heavy-tailed distributions and application ⋮ Statistical foundations for assessing the difference between the classical and weighted-Gini betas ⋮ Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Robust estimator of conditional tail expectation of Pareto-type distribution ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions ⋮ Erratum to: ‘Statistical estimate of the proportional hazard premium of loss’ ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics

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