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Coverage Probability for One Quantile Estimator and Its Application on Insurance Data

Journal: Bulletin of the International Mathematical Virtual Institute (Vol.6, No. 2)

Publication Date:

Authors : ; ;

Page : 127-134

Keywords : high quantile estimation; VaR; direct-simulation estimator; coverage probability.;

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Abstract

Rate of coverage probability for the direct-simulation estimator of quantile estimation has been determined for general case, for the general Pareto distribution and for special cases, Pareto 1 and Pareto 2 distributions. Appropriate calculations and tables with results have been given for data with Pareto 2 distribution as well as for real data from insurance analyzes which can be t with that distribution.

Last modified: 2016-12-20 02:05:37