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http://archives.univ-biskra.dz/handle/123456789/2281| Title: | Statistical estimate of the proportional hazard premium of loss |
| Authors: | Abdelhakim Necira Djamel Meraghnia Fatima Meddia |
| Keywords: | Extreme values, Heavy tails, Proportional Hazard Premium Principle, Risk theory, Reinsurance treaty. |
| Issue Date: | 11-Apr-2014 |
| Abstract: | The well known Proportional Hazard Premium Principle, introduced by Wang (1996), depends upon the survival function of the insured risk and a risk aversion index. Using this premium principle, we propose an asymptotically normal semi-parametric estimator for the net-premium of a high-excess loss layer of heavy-tailed claim amounts. An algorithm to compute confidence bounds is given. Moreover, a comparison between this estimator and the non-parametric estimator, proposed by Necir & Boukhetala (2004), is carried out. DOI:10.1080/03461230601162323 Link http://www.tandfonline.com/doi/abs/10.1080/03461230601162323#.U0T2Lqh5P78 |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2281 |
| Appears in Collections: | Publications Internationales |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| Statistical estimate of the proportional hazard premium of loss.pdf | 36,76 kB | Adobe PDF | View/Open |
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