HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Journal articles

Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions

El Hadji Deme 1, 2 Stéphane Girard 2 Armelle Guillou 3
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
Abstract : Many different premium principles have been proposed in the literature. In this paper, we focus on the Proportional Hazard Premium. Its asymptotic normality has been established in the literature under suitable conditions which are not fulfilled in case of heavy tailed distributions. We thus focus on this framework and propose a reduced-bias approach for the classical estimators. A small simulation study is proposed to illustrate the efficiency of our approach.
Complete list of metadata

Cited literature [24 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00763978
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Wednesday, December 12, 2012 - 9:49:05 AM
Last modification on : Thursday, January 20, 2022 - 5:30:16 PM
Long-term archiving on: : Wednesday, March 13, 2013 - 3:52:16 AM

File

ElHadji2.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

El Hadji Deme, Stéphane Girard, Armelle Guillou. Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions. Insurance: Mathematics and Economics, Elsevier, 2013, 52 (3), pp.550-559. ⟨10.1016/j.insmatheco.2013.03.010⟩. ⟨hal-00763978⟩

Share

Metrics

Record views

402

Files downloads

235