Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes (Q659157)
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scientific article; zbMATH DE number 6004654
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| English | Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes |
scientific article; zbMATH DE number 6004654 |
Statements
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes (English)
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10 February 2012
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finite-time ruin probability
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robustness
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Solvency II
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reliable ruin probability
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asymptotic normality
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influence function
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estimation risk solvency margin (ERSM)
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partly shifted risk process
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0.8078436255455017
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0.7950056791305542
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0.7837733030319214
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0.7812913060188293
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