On semiparametric estimation of ruin probabilities in the classical risk model

DOI10.1080/03461238.2012.690247zbMath1401.62212OpenAlexW2082285012MaRDI QIDQ4576853

Esterina Masiello

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.690247

zbMATH Keywords

bootstrapasymptoticsPoisson risk modelruin probability estimator

Mathematics Subject Classification ID

Related Items (19)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ Estimating the Gerber–Shiu function by Fourier–Sinc series expansion ⋮ Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ Unnamed Item ⋮ Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Cites Work

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• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• Stochastic models as functionals: some remarks on the renewal case
• The estimation of phase-type related functionals using Markov chain Monte Carlo methods
• Convergence of stochastic processes
• A discussion of parameter and model uncertainty in insurance

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