Stochastic Discounting, Aggregate Claims, and the Bootstrap

DOI10.2307/1427586zbMath0807.62083OpenAlexW2320911024MaRDI QIDQ4287976

Markus Aebi, Paul Embrechts, Thomas Mikosch

Publication date: 1 March 1995

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427586

zbMATH Keywords

bootstrap estimationmetricsperpetuitygeneral point processaggregate claims amount

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

Related Items (7)

Risk theory of the second and third kind ⋮ On a family of risk measures based on largest claims ⋮ Delay in claim settlement and ruin probability approximations ⋮ Financial jeopardy ⋮ Statistical aspects of perpetuities ⋮ Limit theorems for mixed max-sum processes with renewal stopping ⋮ Convergence of the population dynamics algorithm in the Wasserstein metric

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