Abdelhakim Necir
A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment.
Втр, 01/10/2012 - 15:01 — SomNambulAuthors: Djamel Meraghni, Abdelhakim Necir, Brahim Brahimi, Djabrane Yahia
Subjects: Methodology
AbstractWe use bias-reduced estimators of high quantiles, of heavy-tailed
distributions, to introduce a new estimator of the mean in the case of infinite
second moment. The asymptotic normality of the proposed estimator is
established and checked, in a simulation study, by four of the most popular
goodness-of-fit tests for different sample sizes. Moreover, we compare, in
terms of bias and mean squared error, our estimator with Peng's estimator
(Peng, 2001) and we evaluate the accuracy of some resulting confidence
intervals.- 7 комментариев
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Distortion risk measures for sums of dependent losses.
Ср, 06/15/2011 - 15:01 — SomNambulAuthors: Brahim Brahim, Djamel Meraghni, Abdelhakim Necir
Subjects: Methodology
AbstractWe discuss two distinct approaches, for distorting risk measures of sums of
dependent random variables, which preserve the property of coherence. The
first, based on distorted expectations, operates on the survival function of
the sum. The second, simultaneously applies the distortion on the survival
function of the sum and the dependence structure of risks, represented by
copulas. Our goal is to propose risk measures that take into account the
fluctuations of losses and possible correlations between risk components.
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