A nonparametric estimator for the conditional tail index of Pareto-type distributions

Metrika ◽  
2019 ◽  
Vol 83 (1) ◽  
pp. 17-44
Author(s):  
Yaolan Ma ◽  
Bo Wei ◽  
Wei Huang
Keyword(s):  
Tail Index ◽  
Nonparametric Estimator ◽  
Pareto Type Distributions

scholarly journals A robust estimator for the tail index of Pareto-type distributions

2007 ◽  
Vol 51 (12) ◽  
pp. 6252-6268 ◽  
Author(s):  
B. Vandewalle ◽  
J. Beirlant ◽  
A. Christmann ◽  
M. Hubert
Keyword(s):  
Tail Index ◽  
Robust Estimator ◽  
Pareto Type Distributions

scholarly journals Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 982
Author(s):  
Yujuan Huang ◽  
Jing Li ◽  
Hengyu Liu ◽  
Wenguang Yu
Keyword(s):  
Fourier Series ◽  
Ruin Probability ◽  
Risk Model ◽  
Expansion Method ◽  
Nonparametric Estimator ◽  
Insurance Risk ◽  
Numerical Examples ◽  
Complex Fourier Series ◽  
Premium Income ◽  
Insurance Risk Model

This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method. Then, we construct a nonparametric estimator of the ruin probability and analyze its convergence. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

Almost sure convergence of the Hill estimator

1988 ◽  
Vol 104 (2) ◽  
pp. 371-381 ◽  
Author(s):  
Paul Deheuvels ◽  
Erich Haeusler ◽  
David M. Mason
Keyword(s):  
Order Statistics ◽  
Almost Sure Convergence ◽  
Tail Index ◽  
Hill Estimator ◽  
Type Distribution ◽  
The Hill ◽  
Strongly Consistent

AbstractIn this note we characterize those sequences kn such that the Hill estimator of the tail index based on the kn upper order statistics of a sample of size n from a Pareto-type distribution is strongly consistent.

scholarly journals Maximum likelihood estimation of the flow size distribution tail index from sampled packet data

2009 ◽  
Vol 37 (1) ◽  
pp. 263-274
Author(s):  
Patrick Loiseau ◽  
Paulo Gonçalves ◽  
Stéphane Girard ◽  
Florence Forbes ◽  
Pascale Vicat-Blanc Primet
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Size Distribution ◽  
Likelihood Estimation ◽  
Tail Index ◽  
Packet Data ◽  
Distribution Tail

scholarly journals Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

2001 ◽  
Vol 76 (2) ◽  
pp. 226-248 ◽  
Author(s):  
J. Danielsson ◽  
L. de Haan ◽  
L. Peng ◽  
C.G. de Vries
Keyword(s):  
Bootstrap Method ◽  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation ◽  
Sample Fraction
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