Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts

DOI10.1016/j.insmatheco.2009.03.004zbMath1231.91221OpenAlexW2043198431MaRDI QIDQ659092

Djamel Meraghni, Abdelhakim Necir

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.03.004

zbMATH Keywords

extreme valuesheavy tailsHill estimatorrisk premiumL-statistics

Mathematics Subject Classification ID

Related Items (14)

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ Estimating conditional means with heavy tails ⋮ 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 ⋮ Jackknife empirical likelihood method for some risk measures and related quantities ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Expected utility and catastrophic consumption risk ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ Market pricing of longevity-linked securities ⋮ Weighted Pricing Functionals With Applications to Insurance

Uses Software

• R

Cites Work

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