%0 Journal Article
	%A Rassoul Abdelaziz
	%D 2012
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 62, 2012
	%T Estimating of the Renewal Function with Heavy-tailed Claims
	%U https://publications.waset.org/pdf/11435
	%V 62
	%X We develop a new estimator of the renewal function for heavy-tailed claims amounts. Our approach is based on the peak over threshold method for estimating the tail of the distribution with a generalized Pareto distribution. The asymptotic normality of an appropriately centered and normalized estimator is established, and its performance illustrated in a simulation study.

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