Title of article :
Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Author/Authors :
Abdelhakim Necir، نويسنده , , Abdelhakim and Meraghni، نويسنده , , Djamel، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
The asymptotic normality of the sample proportional hazard premium for heavy-tailed claim amounts with infinite variance cannot be obtained by classical results for L-statistics. In this paper, we propose an alternative estimator for this class of premiums and we establish its asymptotic normality.
Keywords :
L-statistics , Extreme values , Risk premium , Hill estimator , Heavy tails
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics