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Risk measures play a prominent role in actuarial science and financial assessment. This paper provides a statistical framework for the analysis of some popular risk measures such as the distorted risk measures. By means of an extreme values approach, we present some estimators of these quantities for heavy-tailed losses and establish their asymptotic normality.

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Statistical Estimation of Actuarial Risk Measures for Heavy-Tailed Claim Amounts

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  • 发表日期：

    2025年

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  • Abdelhakim Necir

摘要

Risk measures play a prominent role in actuarial science and financial assessment. This paper provides a statistical framework for the analysis of some popular risk measures such as the distorted risk measures. By means of an extreme values approach, we present some estimators of these quantities for heavy-tailed losses and establish their asymptotic normality.