5 papers
Kernel estimation for the tail index of a right-censored Pareto-type distribution
Abdelhakim Necir, Louiza Soltane
We introduce a kernel estimator, to the tail index of a right-censored Pareto-type distribution, that generalizes Worms's one (Worms and Worms, 2014)in terms of weight coefficients…
Extreme value theory based confidence intervals for the parameters of a symmetric Lévy-stable distribution
Djamel Meraghni, Louiza Soltane
We exploit the asymptotic normality of the extreme value theory (EVT) based estimators of the parameters of a symmetric Lévy-stable distribution, to construct confidence intervals.…
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…
Estimating the mean of a heavy-tailed distribution under random censoring
Louiza Soltane, Djamel Meraghni, Abdelhakim Necir
The central limit theorem introduced by Stute [The central limit theorem under random censorship. Ann. Statist. 1995; 23: 422-439] does not hold for some class of heavy-tailed dist…