Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model

DOI10.1016/J.INSMATHECO.2017.02.007MaRDI QIDQ2397855zbMATH OpenOpenAlexFDO

Authors A. Touazi, Z. Benouaret, Smail Adjabi, D. Aïssani

Publication date 24 May 2017

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.02.007

zbMATH Keywords

kernel densityrisk modelruin probabilitystrong stabilitystability bound

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3839076 (Why is no real title available?)
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• Nonparametric kernel density estimation near the boundary
• On Choosing a Delta-Sequence
• On a nonparametric estimator for ruin probability in the classical risk model
• On robustness in risk theory
• Probability density function estimation using gamma kernels
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• Ruin probabilities
• SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS
• Series expansions for continuous-time Markov processes
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Cited in

(4)

• Semi-parametric approach for approximating the ruin probability of classical risk models with large claims
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
• Strong stability in a two-dimensional classical risk model with independent claims

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