Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
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Cites work
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 1026035 (Why is no real title available?)
- scientific article; zbMATH DE number 1040106 (Why is no real title available?)
- scientific article; zbMATH DE number 2015219 (Why is no real title available?)
- A simple general approach to inference about the tail of a distribution
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- Coherent measures of risk
- Confidence intervals for the tail index
- Empirical Estimation of Risk Measures and Related Quantities
- Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
- Estimating L-functionals for heavy-tailed distributions and application
- Estimating conditional tail expectation with actuarial applications in view
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Estimating the mean of a heavy tailed distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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- Limit theorems for the ratio of the empirical distribution function to the true distribution function
- On the estimation of the extreme-value index and large quantile estimation
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- Optimal choice of sample fraction in extreme-value estimation
- Reiss and Thomas' automatic selection of the number of extremes
- Risk measures, distortion parameters, and their empirical estimation
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistical estimate of the proportional hazard premium of loss
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Weighted premium calculation principles
- Weighted risk capital allocations
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Cited in
(14)- A class of claim distributions: Properties, characterizations and applications to insurance claim data
- Estimating of the proportional hazard premium for heavy-tailed claim amounts with the POT method
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- On hyperbolic iterated distortions for the adjustment of survival functions
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
- ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
- Statistical estimate of the proportional hazard premium of loss
- Generalized PELVE and applications to risk measures
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- scientific article; zbMATH DE number 6533238 (Why is no real title available?)
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas
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