A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation

DOI10.1007/S00780-010-0126-8MaRDI QIDQ650771zbMATHOpenAlexFDO

Authors Peter Grandits, Grigory Temnov

Publication date 27 November 2011

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-010-0126-8

zbMATH Keywords

Pareto distributioninflationmisspecified modelglobal consistencyML estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• scientific article; zbMATH DE number 3097675 (Why is no real title available?)
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Estimating tails of probability distributions
• Maximum Likelihood Estimation of Misspecified Models
• Maximum Likelihood Estimation with the Weibull Model
• Note on the Consistency of the Maximum Likelihood Estimate
• On the impact of hidden trends for a compound Poisson model with Pareto-type claims
• Probability with Martingales

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