Estimating of the Renewal Function with Heavy-tailed Claims
Authors: Rassoul Abdelaziz
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.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1077283Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1163
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