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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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.


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

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

First available in Project Euclid: 22 April 2016

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Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

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


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.

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