Nonparametric estimation of risk measures of collective risks

DOI10.1515/STRM-2015-0014zbMATH Open1338.60094arXiv1504.02693OpenAlexW2264917057MaRDI QIDQ254501FDOQ254501

Authors: Alexandra Lauer, Henryk Zähle 

Publication date: 8 March 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Abstract: We consider two nonparametric estimators for the risk measure of the sum of $n$ i.i.d. individual insurance risks where the number of historical single claims that are used for the statistical estimation is of order $n$. This framework matches the situation that nonlife insurance companies are faced with within in the scope of premium calculation. Indeed, the risk measure of the aggregate risk divided by $n$ can be seen as a suitable premium for each of the individual risks. For both estimators divided by $n$ we derive a sort of Marcinkiewicz--Zygmund strong law as well as a weak limit theorem. The behavior of the estimators for small to moderate $n$ is studied by means of Monte-Carlo simulations.

Full work available at URL: https://arxiv.org/abs/1504.02693

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zbMATH Keywords

nonparametric estimationconvolutionaggregate risklaw-invariant risk measureMarcinkiewicz-Zygmund strong lawMonte-Carlo simulationstotal claim distributionweak limit theoremnonuniform Berry-esséen inequality

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Cites Work

• Nonparametric estimation of compound distributions with applications in insurance
• Central limit theorems for law-invariant coherent risk measures

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• The nonparametric estimation of risk premium under variance related premium principle
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• Nonparametric estimation of net premium functionals for different statuses in collective life insurance

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