Limiting behaviour of a geometric-type estimator for tail indices

• Type: Article in International Scientific Journal
• Date: 2003

Authors

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

Journal

Title: INSURANCE MATHEMATICS & ECONOMICS

Vol. 33

Pages: 211-226

ISSN: 0167-6687

Indexing

ISI Web of Knowledge - 10 Citations

ISI Web of Science

Scopus - 10 Citations

Econlit

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-000-ESQ

DOI: 10.1016/s0167-6687(03)00135-5

Abstract (EN): We propose a consistent estimator for the exponential tail coefficient of a d.f., that is directly related to least squares estimators of Schultze and Steinebach [Statist. Decis. 14 (1996) 353]. We investigate here the weak asymptotic properties of this geometric-type estimator, showing in particular that, under general conditions, its distribution is asymptotically normal. The results are then applied to the related problem of estimating the adjustment coefficient in risk theory [Insur.: Math. Econ. 10 (1991) 37]. A simulation study is performed in order to illustrate the finite sample behaviour of the proposed estimator.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 16