Conditional tail moment and reinsurance premium estimation under random right censoring
DOI10.1007/S11749-023-00890-XzbMATH Open1541.62119MaRDI QIDQ6557183FDOQ6557183
Authors: Yuri Goegebeur, Armelle Guillou, Jing Qin 
Publication date: 18 June 2024
Published in: Test (Search for Journal in Brave)
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Pareto-type distributionexcess-of-loss reinsurancerandom censorshipbias-reductionconditional tail moment
Censored data models (62N01) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)
Cites Work
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- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
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