Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts

Abdelhakim Necir and Djamel Meraghni

Insurance: Mathematics and Economics, 2009, vol. 45, issue 1, pages 49-58

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: Extreme; values; Heavy; tails; Hill; estimator; L-statistics; Risk; premium (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:1:p:49-58

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