Abstract
Recently Necir and Meraghni (2009) proposed an asymptotically normal estimator for distortion risk premiums when losses follow heavy-tailed distributions. In this paper, we propose a bias-corrected estimator of this class of risk premiums and establish its asymptotic normality. Our considerations are based on the high quantile estimator given by Matthys and Beirlant 2003.
Citation
Brahim Brahimi. Fatima Meddi. Abdelhakim Necir. "Bias-corrected estimation in distortion risk premiums for heavy-tailed losses." Afr. Stat. 7 (1) 474 - 490, November 2012.
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