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Pareto Index Estimation Under Moderate Right Censoring

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  • Jan Beirlant
  • Armelle Guillou

Abstract

Real claim data sometimes are censored from above at a high value induced by the sum insured. In this note we examine the behaviour of extreme-value methods in such settings and propose an adaptation of the popular Hill (1975) estimator. It is argued that the censoring typically cannot exceed 5% for an effective use of the methods suggested.

Suggested Citation

  • Jan Beirlant & Armelle Guillou, 2001. "Pareto Index Estimation Under Moderate Right Censoring," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2001(2), pages 111-125.
    • Handle: RePEc:taf:sactxx:v:2001:y:2001:i:2:p:111-125
    DOI: 10.1080/03461230152592764
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    Cited by:

    1. Escobar-Bach, Mikael & Van Keilegom, Ingrid, 2023. "Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up," Computational Statistics & Data Analysis, Elsevier, vol. 183(C).

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