IDEAS home Printed from https://ideas.repec.org/a/gam/jrisks/v4y2016i4p43-d83700.html
   My bibliography  Save this article

Parameter Estimation in Stable Law

Author

Listed:
  • Annika Krutto

    () (Institute of Mathematics and Statistics, University of Tartu, J. Liivi Str 2, Tartu 50409, Estonia)

Abstract

For general stable distribution, cumulant function based parameter estimators are proposed. Extensive simulation experiments are carried out to validate the effectiveness of the estimates over the entire parameter space. An application to non-life insurance losses distribution is made.

Suggested Citation

  • Annika Krutto, 2016. "Parameter Estimation in Stable Law," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-15, November.
  • Handle: RePEc:gam:jrisks:v:4:y:2016:i:4:p:43-:d:83700
    as

    Download full text from publisher

    File URL: http://www.mdpi.com/2227-9091/4/4/43/pdf
    Download Restriction: no

    File URL: http://www.mdpi.com/2227-9091/4/4/43/
    Download Restriction: no

    References listed on IDEAS

    as
    1. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Knight, John L. & Satchell, Stephen E., 1997. "The Cumulant Generating Function Estimation Method," Econometric Theory, Cambridge University Press, vol. 13(02), pages 170-184, April.
    3. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    bootstrap; characteristic function; cumulant function; parameter estimation; simulation; severity distribution;

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
    • K2 - Law and Economics - - Regulation and Business Law

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:4:y:2016:i:4:p:43-:d:83700. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (XML Conversion Team). General contact details of provider: http://www.mdpi.com/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.