Reliability estimation in heavy-tailed distributions using a robust estimator

Heavy-tailed distributions have wide applications in life-time contexts, especially in reliability and risk modeling. So we consider the estimation problem of reliability, R = P(X >; Y), when X and Y are two independent but not identically distributed random variables belonging to the family of heavy-tailed distributions, using a robust estimator, namely the harmonic moment estimator. Extensive simulation studies are carried out to study the performance of this estimator.