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Pareto Index Estimation Under Moderate Right Censoring |
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| Authors: | Jan Beirlant Armelle Guillou |
| Affiliation: | 1. Department of Mathematics , Wayne State University , Detroit, MI, 48202gyin@math.wayne.edu;3. Department of Mathematics , Missouri Southern State University , Joplin, MO, 64801;4. Department of Statistics and Actuarial Science , The University of Hong Kong , Pokfulam Road, Hong Kong |
| Abstract: | Real claim data sometimes are censored from above at a high value induced by the sum insured. In this note we examine the behaviour of extreme-value methods in such settings and propose an adaptation of the popular Hill (1975) estimator. It is argued that the censoring typically cannot exceed 5% for an effective use of the methods suggested. |
| Keywords: | Pareto Index Censoring Maximum Likelihood Bias Reduction |