Robust Estimation of the Tail Index of a Single Parameter Pareto Distribution from Grouped Data

• URL: http://arxiv.org/abs/2401.14593v4
• Date: Wed, 21 Feb 2024 03:28:11 GMT
• Title: Robust Estimation of the Tail Index of a Single Parameter Pareto Distribution from Grouped Data
• Authors: Chudamani Poudyal
• Abstract summary: This paper introduces a novel robust estimation technique, the Method of Truncated Moments (MTuM) Inferential justification of MTuM is established by employing the central limit theorem and validating them through a comprehensive simulation study.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Numerous robust estimators exist as alternatives to the maximum likelihood estimator (MLE) when a completely observed ground-up loss severity sample dataset is available. However, the options for robust alternatives to MLE become significantly limited when dealing with grouped loss severity data, with only a handful of methods like least squares, minimum Hellinger distance, and optimal bounded influence function available. This paper introduces a novel robust estimation technique, the Method of Truncated Moments (MTuM), specifically designed to estimate the tail index of a Pareto distribution from grouped data. Inferential justification of MTuM is established by employing the central limit theorem and validating them through a comprehensive simulation study.

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