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http://archives.univ-biskra.dz/handle/123456789/2281Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Abdelhakim Necira | - |
| dc.contributor.author | Djamel Meraghnia | - |
| dc.contributor.author | Fatima Meddia | - |
| dc.date.accessioned | 2014-04-11T16:30:27Z | - |
| dc.date.available | 2014-04-11T16:30:27Z | - |
| dc.date.issued | 2014-04-11 | - |
| dc.identifier.uri | http://archives.univ-biskra.dz/handle/123456789/2281 | - |
| dc.description.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 | en_US |
| dc.subject | Extreme values, Heavy tails, Proportional Hazard Premium Principle, Risk theory, Reinsurance treaty. | en_US |
| dc.title | Statistical estimate of the proportional hazard premium of loss | en_US |
| dc.type | Article | en_US |
| Appears in Collections: | Publications Internationales | |
Files in This Item:
| 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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