Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/2280
Title: POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks
Authors: Abdelhakim Necir
Abdelaziz Rassoul
Djamel Meraghni
Issue Date: 11-Apr-2014
Abstract: Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is consistent and asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one. Our results provide actuaries with confidence bounds for the renewal function of dangerous risks. Link http://www.hindawi.com/journals/jps/2010/965672/
URI: http://dspace.univ-biskra.dz:8080/jspui/handle/123456789/2280
Appears in Collections:Publications Internationales



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