Edgeworth expansion for an estimator of the adjustment coefficient

DOI10.1016/J.INSMATHECO.2008.05.012zbMath1189.62017OpenAlexW1994871187MaRDI QIDQ974801

Ana Cristina Moreira Freitas, Margarida Brito

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.012

zbMATH Keywords

tail indexSparre Andersen model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

Cites Work

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• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
• A moment estimator for the index of an extreme-value distribution
• A tail bootstrap procedure for estimating the tail Pareto-index
• Limiting behaviour of a geometric-type estimator for tail indices.
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
• Asymptotic Expansions of Estimators for the Tail Index with Applications
• Confidence bounds for the adjustment coefficient
• The bootstrap and Edgeworth expansion

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