Conditional tail moment and reinsurance premium estimation under random right censoring
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Publication:6557183
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Cites work
- A Lynden-Bell integral estimator for extremes of randomly truncated data
- A simple general approach to inference about the tail of a distribution
- Adaptive estimates of parameters of regular variation
- Bias reduced tail estimation for censored Pareto type distributions
- Bias reduction and explicit semi-parametric estimation of the tail index
- Combined tail estimation using censored data and expert information
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of the extreme value index and extreme quantiles under random censoring
- Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
- Extreme quantile estimation for dependent data, with applications to finance
- Extreme value statistics for censored data with heavy tails under competing risks
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
- Nonparametric Estimation from Incomplete Observations
- On the study of extremes with dependent random right-censoring
- Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
- Reinsurance. Actuarial and statistical aspects
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Robust and bias-corrected estimation of the probability of extreme failure sets
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Statistics of extremes under random censoring
- Trimmed extreme value estimators for censored heavy-tailed data
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