Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
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.
Year of publication: |
2009
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Authors: | Necir, Abdelhakim ; Meraghni, Djamel |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 1, p. 49-58
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Publisher: |
Elsevier |
Keywords: | Extreme values Heavy tails Hill estimator L-statistics Risk premium |
Saved in:
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