Statistical estimate of the proportional hazard premium of loss under random censoring
arXiv:1602.02605
Abstract
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 asymptotic normality of the proposed estimator is established under suitable conditions and its performance evaluated through sets of simulated data.
arXiv admin note: text overlap with arXiv:1507.03178, arXiv:1302.1666