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Statistical estimate of the proportional hazard premium of loss under random censoring (1602.02605v2)
Published 8 Feb 2016 in math.ST and stat.TH
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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