Many authors have studied estimation of the reinsurance premium when sequences are i.i.d. for different distributions, particularly for heavy tailed ones. The goal of this paper is to extend this estimation for dependent sequences with heavy tailed marginals. Our work is limited to some mixing sequences using the distortion risk measure due to Wang. In this study it is shown that estimator of the reinsurance premium with high retention is asymptotically normal and without bias.
Digital Object Identifier (DOI)
Hakim, Ouadjed and Yousfate2, Abderrahmane
"Estimation of Reinsurance Premium for Positive Strictly Stationary Sequence with Heavy-Tailed Marginals,"
Journal of Statistics Applications & Probability: Vol. 3:
1, Article 8.
Available at: https://digitalcommons.aaru.edu.jo/jsap/vol3/iss1/8