Ce papier concerne l'estimation des indices de queues et des quantiles extrêmes dans des applications actuarielles. Dans ce domaine, les observations sont souvent censurées. Néanmoins, contrairement au modèle classique de censure aléatoire à droite, les données censurantes sont toujours observées. Sous cette condition, nous introduisons de nouveaux estimateurs et nous étudions leurs propriétés asymptotiques. Leur comportement est illustré sur la base de simulations.
This paper is devoted to the estimation of tail index and extreme quantiles in actuarial applications. In this domain, the observations are often censored. Nevertheless, conversely to the classical randomly right-censored model, the censoring variables are always observed. Therefore, under this assumption, we introduce new estimators and we study their asymptotic properties. Their behaviour are illustrated in a small simulation study.
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@article{CRMATH_2004__339_4_287_0, author = {Delafosse, Emmanuel and Guillou, Armelle}, title = {Extreme quantiles estimation for actuarial applications}, journal = {Comptes Rendus. Math\'ematique}, pages = {287--292}, publisher = {Elsevier}, volume = {339}, number = {4}, year = {2004}, doi = {10.1016/j.crma.2004.06.005}, language = {en}, url = {http://www.numdam.org/articles/10.1016/j.crma.2004.06.005/} }
TY - JOUR AU - Delafosse, Emmanuel AU - Guillou, Armelle TI - Extreme quantiles estimation for actuarial applications JO - Comptes Rendus. Mathématique PY - 2004 SP - 287 EP - 292 VL - 339 IS - 4 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2004.06.005/ DO - 10.1016/j.crma.2004.06.005 LA - en ID - CRMATH_2004__339_4_287_0 ER -
%0 Journal Article %A Delafosse, Emmanuel %A Guillou, Armelle %T Extreme quantiles estimation for actuarial applications %J Comptes Rendus. Mathématique %D 2004 %P 287-292 %V 339 %N 4 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2004.06.005/ %R 10.1016/j.crma.2004.06.005 %G en %F CRMATH_2004__339_4_287_0
Delafosse, Emmanuel; Guillou, Armelle. Extreme quantiles estimation for actuarial applications. Comptes Rendus. Mathématique, Tome 339 (2004) no. 4, pp. 287-292. doi : 10.1016/j.crma.2004.06.005. http://www.numdam.org/articles/10.1016/j.crma.2004.06.005/
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