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