A bootstrap test for the probability of ruin in the compound Poisson risk process
DOI10.2143/AST.40.1.2049227zbMATH Open1230.91067MaRDI QIDQ3569713FDOQ3569713
Benjamin Baumgartner, Riccardo Gatto
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
Recommendations
- Interval estimation of the ruin probability in the classical compound Poisson risk model
- On semiparametric estimation of ruin probabilities in the classical risk model
- Nonparametric statistical analysis of an upper bound of the ruin probability under large claims
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Nonparametric estimators for the probability of ruin
normal approximationEdgeworth expansionresamplingpivotal quantityP-valueexponential claim amountslog-normal claim amountssecond-order quantity
Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Miscellanea Kernel-Type Density Estimation on the Unit Interval
- Bootstrap methods: another look at the jackknife
- Title not available (Why is that?)
- The bootstrap and Edgeworth expansion
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- Conjugate processes and the simulation of ruin problems
- Confidence bounds for the adjustment coefficient
- Title not available (Why is that?)
- Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
- A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
- A bootstrap procedure for estimating the adjustment coefficients
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