2 citations · 5 across the 7 of their papers we have counts for
11 papers
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…
A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
Nawel Haouas, Abdelhakim Necir, Djamel Meraghni +1
By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2…
Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
Nawel Haouas, Abdelhakim Necir, Brahim Brahimi
In this paper, we propose an estimator of the second-order parameter of randomly right-truncated Pareto-type distributions data and establish its consistency and asymptotic normali…
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…
Nelson-Aalen tail product-limit process and extreme value index estimation under random censorship
Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir
On the basis of Nelson-Aalen nonparametric estimator of the cumulative distribution function, we provide a weak approximation to tail product-limit process for randomly right-censo…
Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir
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,…
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…
A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment
Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir +1
We use bias-reduced estimators of high quantiles, of heavy-tailed distributions, to introduce a new estimator of the mean in the case of infinite second moment. The asymptotic norm…
Copula representation of bivariate L-moments : A new estimation method for multiparameter 2-dimentional copula models
Brahim Brahimi, Fateh Chebana, Abdelhakim Necir
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting. In the present paper, we focus on the two-dimension random vectors to e…
Distortion risk measures for sums of dependent losses
Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expe…
A semiparametric estimation of copula models based on the method of moments
Brahim Brahimi, Abdelhakim Necir
Using the classical estimation method of moments, we propose a new semiparametric estimation procedure for multi-parameter copula models. Consistency and asymptotic normality of th…