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Title: Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
Authors: Brahim Brahimi
Fatima Meddi
Abdelhakim Necir
Keywords: Bias reduction
High quantiles
Hill estimator
Order statistics
Risk Measure
Second order regular variation
Tail index
Issue Date: 11-Apr-2013
Abstract: Recently Necir and Meraghni (2009) proposed an asymptotically normal estimator for distortion risk premiums when losses follow heavy-tailed distributions. In this paper, we propose a bias-corrected estimator of this class of risk premiums and establish its asymptotic normality. Our considerations are based on the high quantile estimator given by Matthys and Beirlant 2003.Link
Appears in Collections:Publications Internationales

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