Edgeworth expansion for an estimator of the adjustment coefficient

DOI10.1016/J.INSMATHECO.2008.05.012zbMATH Open1189.62017OpenAlexW1994871187MaRDI QIDQ974801FDOQ974801

Ana Cristina Moreira Freitas, Margarida Brito

Publication date: 8 June 2010

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.012

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zbMATH Keywords

tail indexSparre Andersen model

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The bootstrap and Edgeworth expansion
• A moment estimator for the index of an extreme-value distribution
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Confidence bounds for the adjustment coefficient
• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• Limiting behaviour of a geometric-type estimator for tail indices.
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Title not available (Why is that?)
• Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
• Asymptotic Expansions of Estimators for the Tail Index with Applications
• A tail bootstrap procedure for estimating the tail Pareto-index

Cited In (1)

• Limiting behaviour of a geometric-type estimator for tail indices.

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