Statistical estimate of the proportional hazard premium of loss under random censoring

  • Louiza Soltane
  • Djamel Meraghni
  • Abdelhakim Necir

Abstract

Many insurance premium principles are dened and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excessof- 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.

Keywords: Heavy tails; Hill estimator; Kaplan-Meier estimator; Proportional hazard premium; Random censoring; Reinsurance treaty

Published
2016-03-29
Section
Articles

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print ISSN: 2316-090X