Pareto Index Estimation Under Moderate Right Censoring

Jan Beirlant and Armelle Guillou

Scandinavian Actuarial Journal, 2001, vol. 2001, issue 2, 111-125

Abstract: Real claim data sometimes are censored from above at a high value induced by the sum insured. In this note we examine the behaviour of extreme-value methods in such settings and propose an adaptation of the popular Hill (1975) estimator. It is argued that the censoring typically cannot exceed 5% for an effective use of the methods suggested.

Date: 2001
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DOI: 10.1080/03461230152592764

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