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Statistical estimate of the proportional hazard premium of loss under random censoring

Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored. The asymptotic normality of the proposed estimator is established under suitable conditions and its performance evaluated through sets of simulated data.

preprint2016arXivOpen access
Louiza SoltaneDjamel MeraghniAbdelhakim Necir
math.STStatistics Theory
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Open access3 authors2 topics
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Louiza SoltaneDjamel MeraghniAbdelhakim Necir

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