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Confidence Interval Estimation for Right-Tailed Deviation Risk Measures Under Heavy-Tailed Losses
Paper Type  |
Contributed Paper |
Title |
Confidence Interval Estimation for Right-Tailed Deviation Risk Measures Under Heavy-Tailed Losses |
Author |
Monchaya Chiangpradit, Sa-aat Niwitpong |
Email |
monchaya_c@hotmail.com |
|
Abstract: The estimation of the price of an insurance risk is a very important actuarial problem.
This price has to reflect the property of the distribution of the random variable describing the
corresponding loss. If the loss variable has a heavy-tailed distribution (i.e. distribution with an
infinite variance) then, the risk measure (as a measure of the risk premium) should be higher.
For providing risk measures with heavy-tailed distributions, standard procedures from classical
statistics (when the variance is finite) cannot be applied. In this paper we propose confidence
interval estimation for the Wang’s right-tailed deviation risk measure for heavy-tailed losses.
|
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Start & End Page |
13 - 22 |
Received Date |
2010-06-07 |
Revised Date |
|
Accepted Date |
2010-09-21 |
Full Text |
Download |
Keyword |
Heavy-tailed distribution, Wang’s right-tailed deviation, risk measure, Hill estimator. |
Volume |
Vol.38 No.1 (JANUARY 2011) |
DOI |
|
Citation |
Chiangpradit M. and Niwitpong S., Confidence Interval Estimation for Right-Tailed Deviation Risk Measures Under Heavy-Tailed Losses, Chiang Mai J. Sci., 2011; 38(1): 13-22. |
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