POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks

DOI10.1155/2010/965672zbMath1200.91141OpenAlexW2087525989WikidataQ58652730 ScholiaQ58652730MaRDI QIDQ609728

Abdelaziz Rassoul, Djamel Meraghni, Abdelhakim Necir

Publication date: 1 December 2010

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/227202

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Point estimation (62F10)

Uses Software

• R

Cites Work

• Nonparametric renewal function estimation
• Estimating tails of probability distributions
• Residual life time at great age
• Statistical inference using extreme order statistics
• Estimating the mean of heavy-tailed distributions
• Sur la distribution limite du terme maximum d'une série aléatoire
• Estimating the Renewal Function When the Second Moment Is Infinite
• Some Limit Theorems for Generalized Renewal Measures
• Maximum likelihood estimation in a class of nonregular cases
• Applications of renewal theory in analysis of the free-replacement warranty
• Nonparametric Estimation of the Renewal Function by Empirical Data
• Renewal Theorems When the First or the Second Moment is Infinite
• Regularly varying functions
• Confidence intervals for the tail index
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