TY  - JOUR
ID  - Ouadjed2018
LB  - Ouadjed2018
AU  - Ouadjed, Hakim
TI  - Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
ST  - Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
JO  - Opuscula Math.
JA  - Opuscula Math.
JF  - Opuscula Mathematica
PY  - 2018
VL  - 38
IS  - 6
SP  - 871
EP  - 882
DO  - https://doi.org/10.7494/OpMath.2018.38.6.871
UR  - https://doi.org/10.7494/OpMath.2018.38.6.871
AB  - In the actuarial literature, many authors have studied estimation of the reinsurance premium for heavy tailed i.i.d. sequences, especially for the Proportional Hazard (PH) due to Wang. The main aim of this paper is to extend this estimation for heavy tailed dependent sequences satisfying some mixing dependence structure. In this study we prove that the new estimator is asymptotically normal. The behavior of the estimator is examined using simulation for MA(1) process.
KW  - extreme value theory
KW  - mixing processes
KW  - tail index estimation
SN  - 1232-9274
ER  -