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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| _version_ | 1832567422681350144 |
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| author | Abdelhakim Necir Abdelaziz Rassoul Djamel Meraghni |
| author_facet | Abdelhakim Necir Abdelaziz Rassoul Djamel Meraghni |
| author_sort | Abdelhakim Necir |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-0b2596153c7b464ba72e14a318643d38 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-0b2596153c7b464ba72e14a318643d382025-02-03T01:01:32ZengWileyJournal of Probability and Statistics1687-952X1687-95382010-01-01201010.1155/2010/965672965672POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed RisksAbdelhakim Necir0Abdelaziz Rassoul1Djamel Meraghni2Laboratory of Applied Mathematics, University Mohamed Khider, P.O. Box 145, Biskra 07000, AlgeriaEcole Nationale Superieure d'Hydraulique, Guerouaou, BP 31, Blida 09000, AlgeriaLaboratory of Applied Mathematics, University Mohamed Khider, P.O. Box 145, Biskra 07000, AlgeriaMaking 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.http://dx.doi.org/10.1155/2010/965672 |
| spellingShingle | Abdelhakim Necir Abdelaziz Rassoul Djamel Meraghni POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks Journal of Probability and Statistics |
| title | POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks |
| title_full | POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks |
| title_fullStr | POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks |
| title_full_unstemmed | POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks |
| title_short | POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks |
| title_sort | pot based estimation of the renewal function of interoccurrence times of heavy tailed risks |
| url | http://dx.doi.org/10.1155/2010/965672 |
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