A nonparametric sequential test with power 1 for the ruin probability in some risk models

DOI10.1016/J.SPL.2005.02.002MaRDI QIDQ2483873zbMATH OpenOpenAlexFDO

Authors Pier Luigi Conti

Publication date 1 August 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.02.002

zbMATH Keywords

Ruin probabilitySequential analysisRisk theory

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3934259 (Why is no real title available?)
• scientific article; zbMATH DE number 3320019 (Why is no real title available?)
• Aspects of risk theory
• Boundary Crossing Probabilities for the Wiener Process and Sample Sums
• CONFIDENCE SEQUENCES FOR MEAN, VARIANCE, AND MEDIAN
• Confidence bounds for the adjustment coefficient
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• ITERATED LOGARITHM INEQUALITIES
• On the Convergence of Moments in the Central Limit Theorem
• On the empirical saddlepoint approximation
• SOME FURTHER REMARKS ON INEQUALITIES FOR SAMPLE SUMS
• Statistical Methods Related to the Law of the Iterated Logarithm
• The expected sample size of some tests of power one

Cited in

(3)

• A nonparametric sequential test with power 1 for the mean of Lévy-stable laws with infinite variance
• Monitoring risk in a ruin model perturbed by diffusion
• Nonparametric statistical analysis of an upper bound of the ruin probability under large claims

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