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http://archives.univ-biskra.dz/handle/123456789/2280Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Abdelhakim Necir | - |
| dc.contributor.author | Abdelaziz Rassoul | - |
| dc.contributor.author | Djamel Meraghni | - |
| dc.date.accessioned | 2014-04-11T16:15:01Z | - |
| dc.date.available | 2014-04-11T16:15:01Z | - |
| dc.date.issued | 2014-04-11 | - |
| dc.identifier.uri | http://archives.univ-biskra.dz/handle/123456789/2280 | - |
| dc.description.abstract | Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is consistent and asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one. Our results provide actuaries with confidence bounds for the renewal function of dangerous risks. Link http://www.hindawi.com/journals/jps/2010/965672/ | en_US |
| dc.title | POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks | en_US |
| dc.type | Article | en_US |
| Appears in Collections: | Publications Internationales | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks.pdf | 33,2 kB | Adobe PDF | View/Open |
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