ESTIMATING OF THE PROPORTIONAL HAZARD PREMIUM FOR HEAVY-TAILED CLAIM AMOUNTS WITH THE POT METHOD.

Abdelaziz RASSOUL, Abdelhakim NECIR, Djamal MERAGHNI

Résumé


Abstract:
In this paper we are establishing a new estimator of the proportional hazard premium for
heavy-tailed claim amounts, with a help of POT method for estimate the tail of the
distribution by a GPD distribution, and we established its normality asymptotic, simulation
results are.

Mots-clés


Extremes values; GPD function; Heavy tails; POT method; proportional hazard premiurn.

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