Bias-corrected estimation in distortion risk premiums for heavy-tailed losses

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DC Field	Value	Language
dc.contributor.author	Brahim Brahimi	-
dc.contributor.author	Fatima Meddi	-
dc.contributor.author	Abdelhakim Necir	-
dc.date.accessioned	2013-04-11T12:34:51Z	-
dc.date.available	2013-04-11T12:34:51Z	-
dc.date.issued	2013-04-11	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2260	-
dc.description.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 http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.as/1359744270	en_US
dc.subject	Bias reduction	en_US
dc.subject	High quantiles	en_US
dc.subject	Hill estimator	en_US
dc.subject	L-statistics	en_US
dc.subject	Order statistics	en_US
dc.subject	Risk Measure	en_US
dc.subject	Second order regular variation	en_US
dc.subject	Tail index	en_US
dc.title	Bias-corrected estimation in distortion risk premiums for heavy-tailed losses	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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