Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications

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Title
Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
Authors
Keywords
Extreme value index, Pareto-type, Tail estimation, Random censoring, Bias reduction
Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 78, Issue -, Pages 114-122
Publisher
Elsevier BV
Online
2017-12-13
DOI
10.1016/j.insmatheco.2017.11.008

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