POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks

Abdelhakim Necir, Abdelaziz Rassoul and Djamel Meraghni

Journal of Probability and Statistics, 2010, vol. 2010, 1-14

Abstract:

Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is consistent and asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one. Our results provide actuaries with confidence bounds for the renewal function of dangerous risks.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:965672

DOI: 10.1155/2010/965672

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