Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
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Publication:659092
DOI10.1016/J.INSMATHECO.2009.03.004zbMATH Open1231.91221OpenAlexW2043198431MaRDI QIDQ659092FDOQ659092
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.03.004
Estimation in survival analysis and censored data (62N02) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (20)
- Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
- Estimator and test for the Schadenparameter in special tariffs in health insurance
- Statistical estimate of the proportional hazard premium of loss
- Title not available (Why is that?)
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Methoden der Extremwerttheorie zur Bestimmung eines Einzelschaden-Exzedenten im Krankenversicherungsbereich
- Estimating of the proportional hazard premium for heavy-tailed claim amounts with the POT method
- Estimating conditional means with heavy tails
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Estimating L-functionals for heavy-tailed distributions and application
- ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
- Weighted Pricing Functionals With Applications to Insurance
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Market pricing of longevity-linked securities
- Jackknife empirical likelihood method for some risk measures and related quantities
- Expected utility and catastrophic consumption risk
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
Uses Software
Recommendations
- Estimating of the proportional hazard premium for heavy-tailed claim amounts with the POT method 👍 👎
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions 👍 👎
- Statistical estimate of the proportional hazard premium of loss 👍 👎
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime 👍 👎
- Erratum to: `Statistical estimate of the proportional hazard premium of loss' 👍 👎
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