70 citations
- University of Batna 1DZ8 papers
- Centre National de la Recherche ScientifiqueFR6 papers
- Lancaster UniversityGB5 papers
- Rutherford Appleton LaboratoryGB5 papers
- University of OsloNO5 papers
- University of LiverpoolGB4 papers
- École Nationale Supérieure de Mécanique et des MicrotechniquesFR3 papers
- Franche-Comté Électronique Mécanique Thermique et Optique - Sciences et TechnologiesFR3 papers
- Linnaeus UniversitySE3 papers
- University Frères Mentouri Constantine 1DZ3 papers
- University of GlasgowGB3 papers
- Ider UniversityMN2 papers
4 papers · 1 filter
Tail empirical process and weighted extreme value index estimator for randomly right-censored data
Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir +1
A tail empirical process for heavy-tailed and right-censored data is introduced and its Gaussian approximation is established. In this context, a (weighted) new Hill-type estimator…
Statistical estimate of the proportional hazard premium of loss under random censoring
Louiza Soltane, Djamel Meraghni, Abdelhakim Necir
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 reinsu…
Robust estimator of distortion risk premiums for heavy-tailed losses
Brahim Brahimi, Zoubir Kenioua
We use the so-called t-Hill tail index estimator proposed by Fabián(2001), rather than Hill's one, to derive a robust estimator for the distortion risk premium of loss. Under the s…
Involving copula functions in Conditional Tail Expectation
Brahim Brahimi
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new no…