On the estimation of the extreme value index for randomly right-truncated data and application
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Publication:6259489
arXiv1502.08012MaRDI QIDQ6259489FDOQ6259489
A. Necir, Souad Benchaira, D. Meraghni
Publication date: 27 February 2015
Abstract: We introduce a consistent estimator of the extreme value index under random truncation based on a single sample fraction of top observations from truncated and truncation data. We establish the asymptotic normality of the proposed estimator by making use of the weighted tail-copula process framework and we check its finite sample behavior through some simulations. As an application, we provide asymptotic normality results for an estimator of the excess-of-loss reinsurance premium.
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