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pro vyhledávání: '"Kenioua, Zoubir"'
Autor:
Brahimi, Brahim, Kenioua, Zoubir
We use the so-called t-Hill tail index estimator proposed by Fabi\'an(2001), rather than Hill's one, to derive a robust estimator for the distortion risk premium of loss. Under the second-order condition of regular variation, we establish its asympto
Externí odkaz:
http://arxiv.org/abs/1502.05017
