Title: Estimating of the Renewal Function with Heavy-tailed Claims
Abstract: We develop a new estimator of the renewal function for heavy-tailed claims amounts. Our approach is based on the peak over threshold method for estimating the tail of the distribution with a generalized Pareto distribution. The asymptotic normality of an appropriately centered and normalized estimator is established, and its performance illustrated in a simulation study. Keywords—Renewal function, peak-over-threshold, POT method, extremes value, generalized Pareto distribution, heavy-tailed distribution.
Publication Year: 2012
Publication Date: 2012-02-21
Language: en
Type: article
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Cited By Count: 1
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