Weak convergence of a bootstrap geometric-type estimator with applications to risk theory

• Type: Article in International Scientific Journal
• Date: 2006

Authors

Brito, M (Author) FCUP; Freitas, ACM (Author) FEP

Journal

Title: INSURANCE MATHEMATICS & ECONOMICS

Vol. 38

Pages: 571-584

ISSN: 0167-6687

Indexing

ISI Web of Knowledge - 5 Citations

ISI Web of Science

Scopus - 6 Citations

Econlit

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-004-K5Y

DOI: 10.1016/j.insmatheco.2005.12.002

Abstract (EN): Based on least square considerations, Brito and Moreira Freitas [Brito, M., Moreira Freitas, A.C.. 2003. Limiting behaviour of a geometric-type estimator for tail indices. Insurance: Math. Econ. 33, 211-226] proposed a geometric-type estimator for estimating an exponential tail coefficient. We consider here the tail bootstrap method introduced by Bacro and Brito [Bacro, J.N., Brito, M., 1998. A tail bootstrap procedure for estimating the tail Pareto index. J. Stat. Plan. Infer. 71, 245-260] and show that this procedure works for this estimator. Moreover, we extend the application given in Brito and Moreira Freitas [Brito, M., Moreira Freitas, A.C., 2003. Limiting behaviour of a geometric-type estimator for tail indices. Insurance: Math. Econ. 33, 211-226], by showing that the results obtained may be applied to the related problem of estimating the adjustment coefficient in the Sparre Andersen model, under the standard conditions.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 14