Edgeworth expansion for an estimator of the adjustment coefficient
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Publication:974801
DOI10.1016/j.insmatheco.2008.05.012zbMath1189.62017MaRDI QIDQ974801
Ana Cristina Moreira Freitas, Margarida Brito
Publication date: 8 June 2010
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.012
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
62F10: Point estimation
62G32: Statistics of extreme values; tail inference
Cites Work
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- Asymptotic Expansions of Estimators for the Tail Index with Applications
- Confidence bounds for the adjustment coefficient
- The bootstrap and Edgeworth expansion