SEMINÁRIO: Penalized Bias Reduction in Extreme Value Estimation under Censoring


  • Prof. Jan Beirlant – Catholic University of Leuven – Belgium
  • FCUL – Campo Grande – Bloco C6 Piso 4 – Sala: 6.4.31- 14:30h
  • Segunda-feira, 23 de Outubro de 2017
  • Referência Projeto: Projecto FCT: UID/MAT/00006/2013

The subject of tail estimation for randomly censored data from a heavy tailed distribution is motivated by applications for instance in actuarial statistics. The bias of the available estimators of the extreme value index can be substantial and depends strongly on the amount of censoring.  We review the available estimators, propose a new bias reduced estimator, and show how shrinkage estimation can help to keep the MSE under control. We compare these new proposals with the existing estimators through simulation.  A detailed study of a long-tailed car insurance portfolio is presented.