Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
In the actuarial literature, many authors have studied estimation of the reinsurance premium for heavy tailed i.i.d. sequences, especially for the Proportional Hazard (PH) due to Wang. The main aim of this paper is to extend this estimation for heavy tailed dependent sequences satisfying some mixing...
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| Format: | Article |
| Language: | English |
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AGH Univeristy of Science and Technology Press
2018-01-01
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| Series: | Opuscula Mathematica |
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| Online Access: | http://www.opuscula.agh.edu.pl/vol38/6/art/opuscula_math_3842.pdf |