Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions

DOI10.1080/03461238.2014.924434zbMath1401.62203OpenAlexW1984105943MaRDI QIDQ4576968

Lazhar Benkhelifa

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2014.924434

zbMATH Keywords

bias reductiontail indexrisk measureHill estimatorextreme valuehigh quantilesecond-order regular variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Uses Software

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Cites Work

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• Statistical estimate of the proportional hazard premium of loss
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• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Confidence intervals for the tail index

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