B0152
Title: Conditional tail moment and reinsurance premium estimation under random right censoring
Authors: Armelle Guillou - Strasbourg university (France) [presenting]
Yuri Goegebeur - University of Southern Denmark (Denmark)
Jing Qin - University of Southern Denmark (Denmark)
Abstract: After introducing extreme value theory, in particular, in the censorship framework, the estimation of the conditional tail moment (CTM) will be discussed when the data are subject to random censorship. The variable of main interest and the censoring variable both follow a Pareto-type distribution. We establish the asymptotic properties of our estimator and discuss bias reduction. Then, the CTM is used to estimate, in case of censorship, the premium principle for excess-of-loss reinsurance. The finite sample properties of the proposed estimators are investigated with a simulation study, and we illustrate their practical applicability on a dataset of motor third-party liability insurance.
