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Transformation kernel density estimation of actuarial loss functions

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Author Info
Catalina Bolance (Universitat de Barcelona)
Montserrat Guillen (Universitat de Barcelona)
Jens Perch Nielsen (City University London) (Universitat de Barcelona)

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Abstract

A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented.

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Publisher Info
Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 219.

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Length: 0 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:bar:bedcje:2009219

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Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
Web page: http://www.ere.ub.es
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Find related papers by JEL classification:
G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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This page was last updated on 2009-11-11.

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