scientific article; zbMATH DE number 4111797

MaRDI QIDQ3834865zbMATH OpenFDO

Authors J. Beirlant, J. L. Teugels

Publication date 1989

zbMATH Keywords

asymptotic normalitymaximum likelihood estimatorHill's estimatordomain of attraction of the normal lawtail and quantile estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)

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• The mean residual life function at great age: Applications to tail estimation
• Estimating the conditional tail expectation in the case of heavy-tailed losses
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• POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
• On estimation of the exponent of regular variation using a sample with missing observations
• Residual estimators
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval

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