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.
"Bias-corrected estimation in distortion risk premiums for heavy-tailed losses." Afr. Stat. 7 (1) 474 - 490, November 2012.