Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Djamel Meraghni"'
Publikováno v:
Journal of Probability and Statistics, Vol 2010 (2010)
Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is c
Externí odkaz:
https://doaj.org/article/0b2596153c7b464ba72e14a318643d38
Autor:
Abdelhakim Necir, Djamel Meraghni
Publikováno v:
Journal of Probability and Statistics, Vol 2010 (2010)
𝐿-functionals summarize numerous statistical parameters and actuarial risk measures. Their sample estimators are linear combinations of order statistics (𝐿-statistics). There exists a class of heavy-tailed distributions for which the asymptotic
Externí odkaz:
https://doaj.org/article/cda7f16e6e03451b94b042c2f094a87b
Publikováno v:
Natural Hazards. 86:519-534
Extreme hydrological events, such as floods and droughts, are one of the natural disasters that occur in several parts of the world. They are regarded as being the most costly natural risks in terms of the disastrous consequences in human lives and i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::416c4f58d985f0d92c5e8dc3eccefe97
https://doi.org/10.1007/s11069-016-2703-4
https://doi.org/10.1007/s11069-016-2703-4
Autor:
Djamel Meraghni, Imane Benelmir
Publikováno v:
Afrika Statistika. 11:933-942
We apply the inversion method of estimation, with several combinations of two among the four most popular association measures, to estimate the parameters of copulas in the case of bivariate distributions. We carry out a simulation study with two exa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d32b0a11c65af5364c997dc7c727b2d9
https://doi.org/10.16929/as/2016.933.84
https://doi.org/10.16929/as/2016.933.84
Publikováno v:
Extremes. 19:219-251
A weighted Gaussian approximation to tail product-limit process for Pareto-like distributions of randomly right-truncated data is provided and a new consistent and asymptotically normal estimator of the extreme value index is introduced. A simulation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15a756a85e50dc474656acddccc97323
https://doi.org/10.1007/s10687-016-0241-9
https://doi.org/10.1007/s10687-016-0241-9
Publikováno v:
Statistics & Probability Letters. 107:378-384
Recently, Gardes and Stupfler (2015) introduced an estimator of the extreme value index under random truncation based on two distinct sample fractions of extremes from truncated and truncation data. In this paper, we make use of the weighted tail-cop
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::573b56122a7799ab52131662eb5edfd0
https://doi.org/10.1016/j.spl.2015.08.031
https://doi.org/10.1016/j.spl.2015.08.031
Publikováno v:
Mathematical Methods of Statistics. 24:266-279
We make use of the empirical process theory to approximate the adapted Hill estimator, for censored data, in terms of Gaussian processes. Then, we derive its asymptotic normality, only under the usual second-order condition of regular variation. Our
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0c3b30aa7b1845d99b1d29310bd56112
https://doi.org/10.3103/s106653071504002x
https://doi.org/10.3103/s106653071504002x
Publikováno v:
Afr. Stat. 11, no. 1 (2016), 883-899
Afrika Statistika; Vol 11, No 1 (2016); 883-899
Afrika Statistika; Vol 11, No 1 (2016); 883-899
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 asymptot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0506b36a344e5d7673f3ba1aab8eade7
http://arxiv.org/abs/1602.02605
http://arxiv.org/abs/1602.02605
Publikováno v:
Insurance: Mathematics and Economics. 49:325-334
The distortion parameter reflects the amount of loading in insurance premiums. A specific value of a given premium determines a value of the distortion parameter, which depends on the underlying loss distribution. Estimating the parameter, therefore,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5e8c690ea66ce5ac696c75bc3d59118c
https://doi.org/10.1016/j.insmatheco.2011.05.001
https://doi.org/10.1016/j.insmatheco.2011.05.001
Autor:
Abdelhakim Necir, Djamel Meraghni
Publikováno v:
Methodology and Computing in Applied Probability. 9:557-572
The characteristic exponent α of a Levy-stable law Sα(σ, β, μ) was thor- oughly studied as the extreme value index of a heavy tailed distribution. For 1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::efff83fc9546d04aa53146ecbc28e690
https://doi.org/10.1007/s11009-007-9021-y
https://doi.org/10.1007/s11009-007-9021-y