On the estimation of the extreme value index for randomly right-truncated data and application
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.
math.ST↗