Estimating of the Proportional Hazard Premium for Heavy-Tailed Claim Amounts with the Pot Method
In this paper we propose a new estimator of the proportional hazard premium for heavy-tailed claim amounts, with a help of the peak-over-threshold (POT) method. We establish the asymptotic normality of the new estimator, and its performance is illustrated in a simulation study. Moreover, we compare...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2012-11-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/123 |