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math.ST2015
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…
math.ST2015
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…