• 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
  • Pages
    10
  • From page
    49
  • To page
    58
  • 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
  • Serial Year
    2009
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543793

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1543793