Edgeworth expansion for an estimator of the adjustment coefficient

被引：2

作者：

Brito, Margarida ^{[1
,2
]}

Moreira Freitas, Ana Cristina ^{[2
,3
]}

机构：

[1] Univ Porto, Fac Ciencias, Dept Matemat Aplicada, P-4169007 Oporto, Portugal

[2] Univ Porto, Ctr Matemat, P-4169007 Oporto, Portugal

[3] Univ Porto, Fac Econ, P-4169007 Oporto, Portugal

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2008年 / 43卷 / 02期

关键词：

Adjustment coefficient; Edgeworth expansions; Parameter estimation; Sparre Andersen model; Tail index;

D O I：

10.1016/j.insmatheco.2008.05.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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]). (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：203 / 208

页数：6

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