An Investigation of the Use of Weighted Averages in the Estimation of the Mean of a Long-Tailed Claim Size Distribution

G. C. Taylor

ASTIN Bulletin, 1978, vol. 10, issue 1, 87-98

Abstract: The paper discusses the problem of estimating the mean of a long-tailed claim size distribution when the investigator's knowledge of the distribution is only vague. One method of dealing with this problem, the method developed by Johnson and Hey, is examined and found to produce strongly biased estimators. The situation in which a sufficient statistic (but nothing else) for the claim size distribution is known is examined, and an approximately unbiased estimator developed. This estimator is substantially more efficient than the arithmetic mean in some cases. It appears to be quite successful when the sufficient statistic is real-valued. It is of limited use when the sufficient statistic is vector-valued.

Date: 1978
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:10:y:1978:i:01:p:87-98_00

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().