English, Article edition: Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts Necir, Abdelhakim; Meraghni, Djamel

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Author
  • Necir, Abdelhakim
  • Meraghni, Djamel
Physical Description
  • article
Notes
  • The asymptotic normality of the sample proportional hazard premium for heavy-tailed claim amounts with infinite variance cannot be obtained by classical results for L-statistics. In this paper, we propose an alternative estimator for this class of premiums and we establish its asymptotic normality.
  • Extreme values Heavy tails Hill estimator L-statistics Risk premium
  • RePEc:eee:insuma:v:45:y:2009:i:1:p:49-58
Language
  • English
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