Opuscula Math. 38, no. 6 (2018), 871-882
https://doi.org/10.7494/OpMath.2018.38.6.871

 
Opuscula Mathematica

Estimation of the distortion risk premium for heavy-tailed losses under serial dependence

Hakim Ouadjed

Abstract. 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 dependence structure. In this study we prove that the new estimator is asymptotically normal. The behavior of the estimator is examined using simulation for MA(1) process.

Keywords: extreme value theory, mixing processes, tail index estimation.

Mathematics Subject Classification: 60G70, 62G32.

Full text (pdf)

Opuscula Mathematica - cover

Cite this article as:
Hakim Ouadjed, Estimation of the distortion risk premium for heavy-tailed losses under serial dependence, Opuscula Math. 38, no. 6 (2018), 871-882, https://doi.org/10.7494/OpMath.2018.38.6.871

Download this article's citation as:
a .bib file (BibTeX),
a .ris file (RefMan),
a .enw file (EndNote)
or export to RefWorks.

In accordance with EU legislation we advise you this website uses cookies to allow us to see how the site is used. All data is anonymized.
All recent versions of popular browsers give users a level of control over cookies. Users can set their browsers to accept or reject all, or certain, cookies.