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http://archives.univ-biskra.dz/handle/123456789/2261| Title: | Bias-reduced estimation of Wang's two-sided deviation risk measure under Levy-stable regime |
| Authors: | Brahim Brahimi Djamel Meraghni Abdelhakim Necir Sonia Touba |
| Keywords: | Bias reduction High quantiles Hill estimator Lévy-stable distribution L-statistics Order statistics Risk Measure |
| Issue Date: | 11-Apr-2013 |
| Abstract: | Several risk measures, such as the distorted insurance premium and the two-sided deviation (TSD) measure, can be regarded as L-functionals with specic weight functions. In this paper, we focus on the TSD risk measure as we dene a new estimator by using the bias-reduced estimators of extreme quantiles proposed by Li et al. (2010). A simulation study is carried out to compare, in terms of bias and mean squared error, the new estimator with that introduced recently by Necir and Meraghni (2010). Link http://www.ajol.info/index.php/afst/article/view/83630 |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2261 |
| 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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