Transformation kernel density estimation of actuarial loss functions

A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented.

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Year of publication:	2009
Authors:	Bolance, Catalina ; Guillen, Montserrat
Institutions:	Facultat d'Economia i Empresa, Universitat de Barcelona
Subject:	non-parametric methods \| heavy-tailed distributions \| value at risk

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Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Documents de Treball Number 219 0 pages
Classification:	G22 - Insurance; Insurance Companies ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005120758