Rassoul Abdelaziz
Estimating of the Renewal Function with Heavytailed Claims
145 - 150
2012
6
2
International Journal of Mathematical and Computational Sciences
https://publications.waset.org/pdf/11435
https://publications.waset.org/vol/62
World Academy of Science, Engineering and Technology
We develop a new estimator of the renewal function for heavytailed 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.
Open Science Index 62, 2012