Transformation kernel density estimation of actuarial loss functions

Catalina Bolance (Universitat de Barcelona), Montserrat Guillen and Jens Perch Nielsen (City University London)
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Jens Perch Nielsen (City University London): Universitat de Barcelona

No 219, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented.

JEL-codes: C14 G22 (search for similar items in EconPapers)
Pages: 0 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (1)

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