Edgeworth expansion for an estimator of the adjustment coefficient

Margarida Brito and Ana Cristina Moreira Freitas

Insurance: Mathematics and Economics, 2008, vol. 43, issue 2, 203-208

Abstract: We establish an Edgeworth expansion for an estimator of the adjustment coefficient R, directly related to the geometric-type estimator for general exponential tail coefficients, proposed in [Brito, M., Freitas, A.C.M., 2003. Limiting behaviour of a geometric-type estimator for tail indices. Insurance Math. Econom. 33, 211-226].Using the first term of the expansion, we construct improved confidence bounds for R. The accuracy of the approximation is illustrated using an example from insurance (cf. [Schultze, J., Steinebach, J., 1996. On least squares estimates of an exponential tail coefficient. Statist. Dec. 14, 353-372]).

Keywords: Adjustment; coefficient; Edgeworth; expansions; Parameter; estimation; Sparre; Andersen; model; Tail; index (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-6687(08)00077-2
Full text for ScienceDirect subscribers only

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:eee:insuma:v:43:y:2008:i:2:p:203-208

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().