Empirical bounds for ruin probabilities

DOI10.1016/0304-4149(79)90001-2zbMath0401.62079OpenAlexW1995946449MaRDI QIDQ1255286

Jan Grandell

Publication date: 1979

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(79)90001-2

zbMATH Keywords

Poisson ProcessConfidence IntervalsEmpirical BoundsInsurance BusinessRuin Probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (15)

Estimation of the Lundberg coefficient for a Markov modulated risk model ⋮ Estimating the stationary distribution in a \(GI/M/1\)-queue ⋮ On Some alternative estimates of the adjustment coefficient in risk theory ⋮ Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model ⋮ On a nonparametric estimator for ruin probability in the classical risk model ⋮ On a Risk Model With Dual Seasonalities ⋮ The delta-method for actuarial statistics ⋮ Optimal dividend and equity issuance problem with proportional and fixed transaction costs ⋮ Optimal Proportional Reinsurance Policies in a Dynamic Setting ⋮ On the deficit distribution when ruin occurs -- discrete time model ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Review of statistical actuarial risk modelling ⋮ Numerical calculation of the Cramér-Lundberg approximation ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force

Cites Work

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• A class of approximations of ruin probabilities
• A remark on ‘A class of approximations of ruin probabilities’
• On the central limit theorem for the sum of a random number of independent random variables

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