POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks (Q609728)
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scientific article; zbMATH DE number 5822179
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| English | POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks |
scientific article; zbMATH DE number 5822179 |
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POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks (English)
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1 December 2010
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Summary: Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is consistent and asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one. Our results provide actuaries with confidence bounds for the renewal function of dangerous risks.
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