TY - JFULL AU - Rassoul Abdelaziz PY - 2012/3/ TI - Estimating of the Renewal Function with Heavy-tailed Claims T2 - International Journal of Mathematical and Computational Sciences SP - 144 EP - 150 VL - 6 SN - 1307-6892 UR - https://publications.waset.org/pdf/11435 PU - World Academy of Science, Engineering and Technology NX - Open Science Index 62, 2012 N2 - 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. ER -