An improved estimator of the distortion risk measure for heavy-tailed claims

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Hacettepe Journal of Mathematics and Statistics
Volume:44 Issue:3
An improved estimator of the distortion risk measure for heavy-tailed claims

An improved estimator of the distortion risk measure for heavy-tailed claims

Authors : Rassoul ABDELAZİZ

Pages : 735-746

View : 23 | Download : 10

Publication Date : 2015-06-01

Article Type : Research Paper

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 insert ignore into journalissuearticles values(1974); [3], and Pickands insert ignore into journalissuearticles values(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

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