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dc.contributor.authorBrahim Brahimi-
dc.contributor.authorFatima Meddi-
dc.contributor.authorAbdelhakim Necir-
dc.description.abstractRecently 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
dc.subjectBias reductionen_US
dc.subjectHigh quantilesen_US
dc.subjectHill estimatoren_US
dc.subjectOrder statisticsen_US
dc.subjectRisk Measureen_US
dc.subjectSecond order regular variationen_US
dc.subjectTail indexen_US
dc.titleBias-corrected estimation in distortion risk premiums for heavy-tailed lossesen_US
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