Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
نویسندگان
چکیده
منابع مشابه
Reduced-bias estimator of the Conditional Tail Expectation of heavy-tailed distributions
Several risk measures have been proposed in the literature. In this paper, we focus on the estimation of the Conditional Tail Expectation (CTE). Its asymptotic normality has been first established in the literature under the classical assumption that the second moment of the loss variable is finite, this condition being very restrictive in practical applications. Such a result has been extended...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2013
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2013.03.010