厚尾损失下失真风险溢价的稳健估计
Robust estimator of distortion risk premiums for heavy-tailed losses
摘要：
我们使用Fabián（2001）提出的所谓t-Hill尾部指数估计量，而不是Hill的估计量，来推导出损失失真风险溢价的稳健估计量。在二阶正则变差条件下，建立了它的渐近正态性。通过仿真研究，我们表明，新的估计是更强大的比Necir和Meraghni 2009小样本和大样本。
英文摘要：
We use the so-called t-Hill tail index estimator proposed by Fabián(2001), rather than Hill's one, to derive a robust estimator for the distortion risk premium of loss. Under the second-order condition of regular variation, we establish its asymptotic normality. By simulation study, we show that this new estimator is more robust than of Necir and Meraghni 2009 both for small and large samples.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
