- Afr. Stat.
- Volume 7, Number 1 (2012), 474-490.
Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
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.
Afr. Stat., Volume 7, Number 1 (2012), 474-490.
First available in Project Euclid: 1 February 2013
Permanent link to this document
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Brahimi, Brahim; Meddi, Fatima; Necir, Abdelhakim. Bias-corrected estimation in distortion risk premiums for heavy-tailed losses. Afr. Stat. 7 (2012), no. 1, 474--490. https://projecteuclid.org/euclid.as/1359744270