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

2015/02/27 by Souad Benchaira, S. Benchaira, D. Meraghni +6
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability and Risk Models #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1502.08012

arxiv created 2015/02/27 · openalex publication_date 2015/02/27 · arxiv updated 2015/03/02 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

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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