POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks
Joint Authors
Meraghni, Djamel
Necir, Abdelhakim
Rassoul, Abdelaziz
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-05-11
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance.
We prove that the proposed estimator is consistent and asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one.
Our results provide actuaries with confidence bounds for the renewal function of dangerous risks.
American Psychological Association (APA)
Necir, Abdelhakim& Rassoul, Abdelaziz& Meraghni, Djamel. 2010. POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-14.
https://search.emarefa.net/detail/BIM-512061
Modern Language Association (MLA)
Necir, Abdelhakim…[et al.]. POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks. Journal of Probability and Statistics No. 2010 (2010), pp.1-14.
https://search.emarefa.net/detail/BIM-512061
American Medical Association (AMA)
Necir, Abdelhakim& Rassoul, Abdelaziz& Meraghni, Djamel. POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-14.
https://search.emarefa.net/detail/BIM-512061
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512061
