POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks
Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is consistent and asymptotically normal, and we carry...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/965672 |
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| Summary: | Making use of the peaks over threshold (POT) estimation method,
we propose a semiparametric estimator for the renewal function of
interoccurrence times of heavy-tailed insurance claims with infinite
variance. We prove that the proposed estimator is consistent and
asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one.
Our results provide actuaries with confidence bounds for the renewal
function of dangerous risks. |
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| ISSN: | 1687-952X 1687-9538 |