Estimation des mesures de risques pour les distributions à queue lourde

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).