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Activity Number: 375
Type: Topic Contributed
Date/Time: Wednesday, August 1, 2007 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #308353
Title: Estimating Conditional Tail Expectations with Actuarial Applications in View
Author(s): Ricardas Zitikis*+
Companies: University of Western Ontario
Address: 1151 Richmond Street North, London, ON, N6B 3R7, Canada
Keywords: Conditional tail expectation ; Premium ; Mean residual life ; Asymptotics ; Insurance ; Statistical inference
Abstract:

We shall discuss statistical inferential tools for estimating and comparing conditional tail expectation (CTE) functions, which are of considerable interest in actuarial science. In particular, we shall discuss estimators for the CTE functions, asymptotic theory for the estimators, and then discuss constructing pointwise and simultaneous confidence intervals for the functions. Theoretical results are obtained under minimal assumptions. The general Vervaat process plays a crucial role in achieving the aforementioned goals.

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Revised September, 2007