Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model

DOI10.1007/s11009-011-9212-4zbMath1416.62590OpenAlexW2056378333MaRDI QIDQ1930460

Li Qin, Susan M. Pitts

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9212-4

zbMATH Keywords

functional central limit theoremempirical processesruin timefast Fourier transform algorithminfinite-dimensional delta methodfinite-time survival probabilities

Mathematics Subject Classification ID

Related Items (4)

De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ On a nonparametric estimator for the finite time survival probability with zero initial surplus ⋮ A Fourier-cosine method for finite-time ruin probabilities

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