Nonparametric estimation of compound distributions with applications in insurance

zbMATH Open0817.62024MaRDI QIDQ1804822FDOQ1804822

Susan M. Pitts

Publication date: 17 May 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalitystrong consistencyempirical distributionbootstrap confidence bandscompound distributionsprobability of ruinPoisson risk modelaggregate claims distribution functionrandom sum of independent identically distributed random variables

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (25)

• Nonparametric estimation of risk measures of collective risks
• Nonparametric estimation in random sum models
• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
• Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday
• Statistical aspects of perpetuities
• Dichotomous unimodal compound models: application to the distribution of insurance losses
• Influence functions of empirical nonparametric estimators of net reinsurance premiums
• Functional sensitivity analysis of ruin probability in the classical risk models
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
• A new efficient method for estimating the Gerber–Shiu function in the classical risk model
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
• A semi-parametric estimator of a risk distribution
• Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
• Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
• Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
• Threshold estimation for a spectrally negative Lévy process
• On a nonparametric estimator for ruin probability in the classical risk model
• MINIMUM QUADRATIC DISTANCE ESTIMATION FOR A PARAMETRIC FAMILY OF DISCRETE DISTRIBUTIONS DEFINED RECURSIVELY
• On semiparametric estimation of ruin probabilities in the classical risk model
• Nonparametric analysis of aggregate loss models
• Decompounding: an estimation problem for Poisson random sums.
• Nonparametric estimation for derivatives of compound distribution
• Interval estimation of the ruin probability in the classical compound Poisson risk model

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