Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions

Lazhar Benkhelifa

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 3, 262-278

Abstract: A new kernel-type estimator for the distortion risk premiums of heavy-tailed losses is introduced. Using a least-squares approach, a bias-reduced version of this estimator is proposed. Under suitable assumptions, the asymptotic normality of the given estimators is established. A small simulation study, to illustrate the performance of our method, is carried out.

Date: 2016
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DOI: 10.1080/03461238.2014.924434

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