文章基本信息

标题：POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks
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作者：Abdelhakim Necir ; Abdelaziz Rassoul ; Djamel Meraghni 等
期刊名称：Journal of Probability and Statistics
印刷版ISSN：1687-952X
电子版ISSN：1687-9538
出版年度：2010
卷号：2010
DOI：10.1155/2010/965672
出版社：Hindawi Publishing Corporation
摘要：Making use of the peaks over threshold (POT) estimation method, we propose a semiparametric estimator for the renewal function of interoccurrence times of heavy-tailed insurance claims with infinite variance. We prove that the proposed estimator is consistent and asymptotically normal, and we carry out a simulation study to compare its finite-sample behavior with respect to the nonparametric one. Our results provide actuaries with confidence bounds for the renewal function of dangerous risks.