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arXiv · 1602.02605

Statistical estimate of the proportional hazard premium of loss under random censoring

Louiza Soltane·Djamel Meraghni·Abdelhakim Necir
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Abstract

Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored. The asymptotic normality of the proposed estimator is established under suitable conditions and its performance evaluated through sets of simulated data.

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Louiza Soltane, Djamel Meraghni, Abdelhakim Necir. 2016-02-08. Statistical estimate of the proportional hazard premium of loss under random censoring. https://arxiv.org/abs/1602.02605

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