Parameter Estimation in Stable Law

Annika Krutto
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Annika Krutto: Institute of Mathematics and Statistics, University of Tartu, J. Liivi Str 2, Tartu 50409, Estonia

Risks, 2016, vol. 4, issue 4, 1-15

Abstract: For general stable distribution, cumulant function based parameter estimators are proposed. Extensive simulation experiments are carried out to validate the effectiveness of the estimates over the entire parameter space. An application to non-life insurance losses distribution is made.

Keywords: bootstrap; characteristic function; cumulant function; parameter estimation; simulation; severity distribution (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2016
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