Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
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DOI: 10.1016/j.insmatheco.2017.11.008
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References listed on IDEAS
- Ameraoui, Abdelkader & Boukhetala, Kamal & Dupuy, Jean-François, 2016. "Bayesian estimation of the tail index of a heavy tailed distribution under random censoring," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 148-168.
- Gomes, M. Ivette & Oliveira, Orlando, 2003. "Censoring estimators of a positive tail index," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 147-159, November.
- Beirlant, J. & Bardoutsos, A. & de Wet, T. & Gijbels, I., 2016. "Bias reduced tail estimation for censored Pareto type distributions," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 78-88.
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Cited by:
- Saida Mancer & Abdelhakim Necir & Souad Benchaira, 2023. "Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1510-1547, August.
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Keywords
Extreme value index; Pareto-type; Tail estimation; Random censoring; Bias reduction;All these keywords.
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