Edgeworth expansion for an estimator of the adjustment coefficient

DOI10.1016/j.insmatheco.2008.05.012zbMath1189.62017MaRDI QIDQ974801

Margarida Brito, Ana Cristina Moreira Freitas

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

zbMATH Keywords

tail index; Sparre Andersen model

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62F10: Point estimation

62G32: Statistics of extreme values; tail inference

Cites Work

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• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
• A moment estimator for the index of an extreme-value distribution
• A tail bootstrap procedure for estimating the tail Pareto-index
• Limiting behaviour of a geometric-type estimator for tail indices.
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
• Asymptotic Expansions of Estimators for the Tail Index with Applications
• Confidence bounds for the adjustment coefficient
• The bootstrap and Edgeworth expansion