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POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks
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نویسنده
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necir a. ,rassoul a. ,meraghni d.
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منبع
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journal of probability and statistics - 2010 - شماره : 0
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چکیده
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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. © 2010 abdelhakim necir et al.
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آدرس
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laboratory of applied mathematics,university mohamed khider,p.o. box 145, Algeria, ecole nationale superieure d'hydraulique guerouaou,bp 31, Algeria, laboratory of applied mathematics,university mohamed khider,p.o. box 145, Algeria
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Authors
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