Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
| dc.contributor.author | Benkhelifa, Lazhar | |
| dc.date.accessioned | 2022-04-28T01:51:35Z | |
| dc.date.available | 2022-04-28T01:51:35Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | In this paper, we generalize the classical estimator of the reinsurance premium for heavy-tailed loss distributions with a kernel-type estimator. Since this estimator exhibits a bias, we propose its biasreduced version by using a least-squares method. The asymptotic normality of the proposed estimators is established under suitable assumptions. A small simulation study is carried out to prove the performance of our approach. | ar |
| dc.identifier.uri | http://hdl.handle.net/123456789/13043 | |
| dc.language.iso | en | ar |
| dc.publisher | Elsevier | ar |
| dc.subject | Proportional hazard premium | ar |
| dc.subject | Reinsurance treaty | ar |
| dc.subject | Bias reduction | ar |
| dc.subject | Kernel estimator | ar |
| dc.subject | Hill estimator | ar |
| dc.subject | Extreme quantile | ar |
| dc.subject | Heavy tails | ar |
| dc.title | Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions | ar |
| dc.type | Article | ar |
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