Publication date: September 2016
Source:Insurance: Mathematics and Economics, Volume 70
Author(s): Brahim Brahimi, Jihane Abdelli
Estimating the distorted parameter in the case of non negative heavy-tailed losses has been treated in Brahimi et al. (2011). In this paper, we extend this work to the case of the real heavy-tailed losses. We derive an asymptotic distribution of the estimator. We construct a practically implemented confidence interval for the distortion parameter and illustrate the performance of the interval in a simulation study with application to real data.
Source:Insurance: Mathematics and Economics, Volume 70
Author(s): Brahim Brahimi, Jihane Abdelli