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《Journal of Applied Statistics and Management》 2019-05
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Estimator of Haezendonck-Goovaerts Capital Allocation

XUN Li;ZHOU Yang-zhi;ZHOU Yong;School of Mathematics and Statistics,Changchun University of Technology;Key Laboratory of Advanced Theory and Application in Statistics and Data Science,MOE;Academy of Statistics and Interdisciplinary Sciences,East China Normal University;  
In this paper,the estimating equation method is used to estimate Haezendonck-Goovaerts capital allocation.The empirical estimator and estimating equation estimator of Haezendonck-Goovaerts capital allocation and their large sample properties are derived.By simulations,we illustrate the effect of sample sizes on the estimator of Haezendonck-Goovaerts capital allocation.
【Fund】: 国家自然科学基金项目(11701043);; 吉林省教育厅十三五科学技术项目(JJKH20191299KJ);; 中国国家留学基金项目(201808220176);; 国家自然科学基金委重点项目(71331006);; 国家自然科学重大研究计划重点项目(91546202)资助
【CateGory Index】: F224;O212.1
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