Limiting behaviour of a geometric-type estimator for tail indices

被引：10
作者：
Brito, M
Freitas, ACM
机构：
[1] Univ Porto, Fac Ciencias, Dept Matemat Aplicada, P-4169007 Oporto, Portugal
[2] Univ Porto, Fac Ciencias, CMAUP, P-4169007 Oporto, Portugal
[3] Univ Porto, Fac Ciencias, Ctr Matemat, P-4169007 Oporto, Portugal
[4] Univ Porto, Fac Econ, P-4169007 Oporto, Portugal
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2003年 / 33卷 / 02期
关键词：
adjustment coefficient; least squares estimators; parameter estimation; tail indices; universal asymptotic normality;
D O I：
10.1016/S0167-6687(03)00135-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2003 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：211 / 226
页数：16
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