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http://archives.univ-biskra.dz/handle/123456789/2260| 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 L-statistics 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 http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.as/1359744270 |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2260 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Bias-corrected estimation in distortion risk premiums for heavy-tailed losses.pdf | 35,95 kB | Adobe PDF | View/Open |
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