Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view

Insurance: Mathematics and Economics

Volumn 45, Issue 3, 2009, Pages 424-435

  Brazauskas, Vytaras ^a   Kleefeld, Andreas ^a  

^a UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

Author keywords

IB30; IM10; IM11; IM41; IM54; Pure premium; Robust statistics; Simulations; Trimmed moments; Value at risk

Indexed keywords

EID: 71649090298     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2009.09.002     Document Type: Article

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