Nonparametric estimation of risk measures of collective risks

DOI10.1515/STRM-2015-0014MaRDI QIDQ254501zbMATH OpenOpenAlexFDO

Authors Alexandra Lauer, Henryk Zähle

Publication date 8 March 2016

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

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

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)

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.

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Cites work

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

Cited in

(9)

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