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Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
Abstract : Many different premium principles have been proposed in the literature. In this paper, we focus on the Proportional Hazard Premium. Its asymptotic normality has been established in the literature under suitable conditions which are not fulfilled in case of heavy tailed distributions. We thus focus on this framework and propose a reduced-bias approach for the classical estimators. A small simulation study is proposed to illustrate the efficiency of our approach.
Cited literature [24 references]
https://hal.archives-ouvertes.fr/hal-00763978
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Wednesday, December 12, 2012 - 9:49:05 AM
Last modification on : Thursday, January 20, 2022 - 5:30:16 PM
Long-term archiving on: : Wednesday, March 13, 2013 - 3:52:16 AM
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Wednesday, December 12, 2012 - 9:49:05 AM
Last modification on : Thursday, January 20, 2022 - 5:30:16 PM
Long-term archiving on: : Wednesday, March 13, 2013 - 3:52:16 AM
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