Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution

DOI10.1080/10920277.2000.10595935zbMath1083.62505OpenAlexW2063840953MaRDI QIDQ5718128

Vytaras Brazauskas, Robert J. Serfling

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595935

Mathematics Subject Classification ID

Related Items (31)

On the identification of extreme outliers and dragon-kings mechanisms in the upper tail of income distribution ⋮ Information Matrix for Pareto(IV), Burr, and Related Distributions ⋮ Multiple risk factor dependence structures: distributional properties ⋮ Robust Estimation for Parameters of the Extended Burr Type III Distribution ⋮ On robust tail index estimation ⋮ Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring ⋮ Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ Influence functions of empirical nonparametric estimators of net reinsurance premiums ⋮ Dual divergence estimators of the tail index ⋮ On the favorable estimation for fitting heavy tailed data ⋮ Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view ⋮ ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA ⋮ Estimating conditional tail expectation with actuarial applications in view ⋮ Small Sample Robust Testing for Normality against Pareto Tails ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data ⋮ ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS ⋮ Small sample performance of robust estimators of tail parameters for pareto and exponential models ⋮ The Latest Advances on the Hill Estimator and Its Modifications ⋮ Detecting influential data points for the Hill estimator in Pareto-type distributions ⋮ Robust fitting of claim severity distributions and the method of trimmed moments ⋮ A robust estimator for the tail index of Pareto-type distributions ⋮ A review of goodness of fit tests for Pareto distributions ⋮ New Goodness-of-Fit Tests for Pareto Distributions ⋮ Pareto Tail Index Estimation Revisited ⋮ Interval Estimation of Actuarial Risk Measures ⋮ Robust and Efficient Methods for Credibility When Claims Are Approximately Gamma-Distributed ⋮ Robust estimation of Pareto-type tail index through an exponential regression model ⋮ Multivariate generalized linear-statistics of short range dependent data ⋮ Fisher information matrix for the Feller-Pareto distribution

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