Micro-data estimates of welfare indices are known to be sensitive to observations from the
tails of the income distribution. It is therefore customary to make adjustments to extreme data …

Estimation of the Pareto tail index from extreme order statistics is an important problem in
many settings. The upper tail of the distribution, where data are sparse, is typically fitted with …

This article investigates performance of interval estimators of various actuarial risk
measures. We consider the following risk measures: proportional hazards transform (PHT) …

We consider various robust estimators for the extended Burr Type III (EBIII) distribution for
complete data with outliers. The considered robust estimators are M-estimators, least …

Performing inference such a computing confidence intervals is traditionally done, in the
parametric case, by first fitting a model and then using the estimates to compute quantities …

As is well known in actuarial practice, excess claims (outliers) have a disturbing effect on the
ratemaking process. To obtain better estimators of premiums, which are based on credibility …

In this article, the notion of reinsurance as a means for a first‐line insurer to pass on part of
his underwritten risk for some appropriate premium payment is defined and motivated …

Estimation of the Pareto tail index from extreme order statistics is an important problem in
many settings such as income distributions (for inequality measurement), finance (for the …

The Wiley Series in Probability and Statistics is well established and authoritative. It covers
many topics of current research interest in both pure and applied statistics and probability …

Estimation or mis-specification errors in the portfolio loss distribution can have a
considerable impact on risk measures. This paper investigates the sensitivity of tail-related …