Fitting a parametric distribution for large claims in case of censored or partitioned data

DOI10.1016/0167-6687(93)90825-AzbMath0779.62098OpenAlexW2050321804MaRDI QIDQ689580

Michael Weba

Publication date: 19 January 1994

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

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90825-a

zbMATH Keywords

complete convergenceasymptotic normalityextreme value distributionscensored dataHill's estimatorempirical quantilesextended Pareto distributionsextended Weibull distributionsheavy-tailed claim distributionslarge claim distributionsparametric family of claim distributionsRBNS claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (1)

Mixtures of tails in clustered automobile collision claims

Cites Work

• A moment estimator for the index of an extreme-value distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Modeling large claims in non-life insurance
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
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