Abstract
The main aim of this paper is to propose an alternative estimate of
the distortion risk measure for heavy-tailed claims. Our approach is
based on the result of Balkema and de Haan (1974) [3], and Pickands
(1975) [22] for approximating the tail of the distribution by a generalized Pareto distribution. The asymptotic normality of the new estimator is established, and its performance illustrated by some results
of simulation who shows the advantages of the new estimator over the
estimator based on the classical extreme-value theory.
Keywords
Premium principle Distortion risk measure POT method Extremes values theory Generalized Pareto distribution Loss distribution
References
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Details
| Primary Language | English |
|---|---|
| Subjects | Mathematical Sciences |
| Journal Section | Research Article |
| Authors | |
| Publication Date | June 1, 2015 |
| IZ | https://izlik.org/JA79SC25ZM |
| Published in Issue | Year 2015 Volume: 44 Issue: 3 |