Robust estimator of the ruin probability in infinite time for heavy-tailed distributions-Reference-Cited by-同舟云学术

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Robust estimator of the ruin probability in infinite time for heavy-tailed distributions

Published:2024-09-13 Issue: Volume: Page:1-22
ISSN:0233-1888
Container-title:Statistics
language:en
Short-container-title:Statistics

Author:

Deme El Hadji¹,Slaoui Yousri²,Kebe Modou¹,Manou-Abi Solym³⁴

Affiliation:

1. LERSTAD, UFR SAT, Université Gaston Berger, Saint-Louis, Sénégal

2. Laboratoire de Mathématiques et Applications, UMR CNRS 7348, Université de Poitiers, Poitiers, France

3. Institut Montpelliérain Alexander Grothendieck, UMR CNRS 5149, Montpellier, France

4. Centre Universitaire de Formation et de Recherche, Mayotte, France

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331888.2024.2402497

Reference44 articles.

1. Panjer H, Willmot GE. Insurance risk models. Michigan: Society of actuaries; 1992.

2. Čiz˘ek P, Härdle W, Weron R. Statistical tools for finance and insurance. Berlin: Springer; 2005.

3. On univariate extreme value statistics and the estimation of reinsurance premiums

4. Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions

5. Mathematical statistics and limit theorems; p. 105–123;Deme EH,2015

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