Afrika Statistika

Statistical estimate of the proportional hazard premium of loss under random censoring

Soltane LOUIZA, Meraghni DJAMEL, and Abdelhakim NECIR

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Abstract

Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when losses are randomly censored. The asymptotic normality of the proposed estimator is established under suitable conditions and its performance evaluated through sets of simulated data.

Résumé

Dans cet article, nous nous concentrons sur l'estimation de la prime de réassurance en excédent de sinistres lorsque les risques sont aléatoirement censurées à droite. La normalité asymptotique de l'estimateur proposée est établie sous des conditions adéquates et sa performance évaluée à travers des ensembles de données simulées.

Article information

Source
Afr. Stat., Volume 11, Number 1 (2016), 883-899.

Dates
First available in Project Euclid: 22 April 2016

Permanent link to this document
https://projecteuclid.org/euclid.as/1461355421

Digital Object Identifier
doi:/10.16929/as/2016.883.81

Mathematical Reviews number (MathSciNet)
MR3491569

Zentralblatt MATH identifier
1338.62152

Subjects
Primary: 62G32: Statistics of extreme values; tail inference 62N01: Censored data models 91B30: Risk theory, insurance 62P05: Applications to actuarial sciences and financial mathematics

Keywords
Heavy tails Hill estimator Kaplan-Meier estimator Proportional hazard premium Random censoring Reinsurance treaty

Citation

LOUIZA, Soltane; DJAMEL, Meraghni; NECIR, Abdelhakim. Statistical estimate of the proportional hazard premium of loss under random censoring. Afr. Stat. 11 (2016), no. 1, 883--899. doi:/10.16929/as/2016.883.81. https://projecteuclid.org/euclid.as/1461355421


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