Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
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Publication:1930460
DOI10.1007/s11009-011-9212-4zbMath1416.62590MaRDI QIDQ1930460
Publication date: 11 January 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9212-4
functional central limit theorem; empirical processes; ruin time; fast Fourier transform algorithm; infinite-dimensional delta method; finite-time survival probabilities
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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