Edgeworth expansion for an estimator of the adjustment coefficient

• Type: Article in International Scientific Journal
• Date: 2008

Authors

Margarida Brito (Author) FCUP; Ana Cristina Moreira Freitas (Author) FEP

Journal

Title: INSURANCE MATHEMATICS & ECONOMICS

Vol. 43 No. 2

Pages: 203-208

ISSN: 0167-6687

Indexing

ISI Web of Knowledge - 2 Citations

Scopus - 4 Citations

Econlit

Scientific classification

FOS: Social sciences > Economics and Business

Other information

Authenticus ID: P-003-VV1

DOI: 10.1016/j.insmatheco.2008.05.012

Abstract (EN): We establish an Edgeworth expansion for an estimator of the adjustment coefficient R, directly related to the geometric-type estimator for general exponential tail coefficients, proposed in [Brito, M., Freitas, A.C.M., 2003. Limiting behaviour of a geometric-type estimator for tail indices. Insurance Math. Econom. 33, 211-226]. Using the first term of the expansion, we construct improved confidence bounds for R. The accuracy of the approximation is illustrated using an example from insurance (cf. [Schultze, J., Steinebach, J., 1996. On least squares estimates of an exponential tail coefficient. Statist. Dec. 14, 353-372]).

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 6