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Title: Estimation des mesures de risques pour les distributions à queue lourde
Authors: Fatima MEDDI
Keywords: Bias reduction, High quantiles, Hill estimator, L-statistics, Order statistics, Risk Measure, Second order regular variation, Tail index.
Issue Date: 25-Oct-2014
Abstract: Recently Necir and Meraghni (2009) proposed an asymptoti- cally normal estimator for distortion risk premiums when losses follow heavy- tailed distributions. In this thesis, we propose a bias-corrected estimator of this class of risk premiums and establish its asymptotic normality. Our consi- derations are based on the high quantile estimator given by Matthys and Beirlant (2003).
Appears in Collections:Mathématiques

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