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arXiv · 1502.08012

On the estimation of the extreme value index for randomly right-truncated data and application

S. Benchaira·D. Meraghni·A. Necir
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Abstract

We introduce a consistent estimator of the extreme value index under random truncation based on a single sample fraction of top observations from truncated and truncation data. We establish the asymptotic normality of the proposed estimator by making use of the weighted tail-copula process framework and we check its finite sample behavior through some simulations. As an application, we provide asymptotic normality results for an estimator of the excess-of-loss reinsurance premium.

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S. Benchaira, D. Meraghni, A. Necir. 2015-02-27. On the estimation of the extreme value index for randomly right-truncated data and application. https://arxiv.org/abs/1502.08012

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