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http://archives.univ-biskra.dz/handle/123456789/3878| 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). |
| URI: | http://archives.univ-biskra.dz/handle/123456789/3878 |
| Appears in Collections: | Mathématiques |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| math_d1_2014.pdf | 1,82 MB | Adobe PDF | View/Open |
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