Conditional tail moment and reinsurance premium estimation under random right censoring

DOI10.1007/s11749-023-00890-xzbMath1541.62119MaRDI QIDQ6557183

Yuri Goegebeur, Jing Qin, Armelle Guillou

Publication date: 18 June 2024

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

excess-of-loss reinsurancerandom censorshipPareto-type distributionbias-reductionconditional tail moment

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Censored data models (62N01) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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