Abstract

Several advances are made in connection with the approximation and estimation of heavy-tailed distributions. It is first explained that on initially applying the Esscher transform to heavy-tailed density functions such as the Pareto, Studentt and Cauchy, said densities can be approximated by employing a certain moment-based methodology. Alternatively, density approximants can be obtained by appropriately truncating such distributions or mapping them onto finite supports. These techniques are then extended to the context of density estimation, their validity being demonstrated by means of simulation studies. As well, illustrative actuarial examples are presented.

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