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Weak convergence of a bootstrap geometric-type estimator with applications to risk theory

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  • Brito, Margarida
  • Moreira Freitas, Ana Cristina

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  • Brito, Margarida & Moreira Freitas, Ana Cristina, 2006. "Weak convergence of a bootstrap geometric-type estimator with applications to risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 571-584, June.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:3:p:571-584
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    References listed on IDEAS

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    1. Brito, Margarida & Moreira Freitas, Ana Cristina, 2003. "Limiting behaviour of a geometric-type estimator for tail indices," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 211-226, October.
    2. Embrechts, Paul & Mikosch, Thomas, 1991. "A bootstrap procedure for estimating the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 181-190, December.
    3. Csorgo, Miklos & Steinebach, Josef, 1991. "On the estimation of the adjustment coefficient in risk theory via intermediate order statistics," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 37-50, March.
    4. Schultze J. & Steinebach J., 1996. "On Least Squares Estimates Of An Exponential Tail Coefficient," Statistics & Risk Modeling, De Gruyter, vol. 14(4), pages 353-372, April.
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    Cited by:

    1. Brito, Margarida & Freitas, Ana Cristina Moreira, 2008. "Edgeworth expansion for an estimator of the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 203-208, October.
    2. Jenny Farmer & Donald Jacobs, 2018. "High throughput nonparametric probability density estimation," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-29, May.
    3. Brito, Margarida & Freitas, Ana Cristina Moreira, 2010. "Consistent estimation of the tail index for dependent data," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1835-1843, December.

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