A bootstrap test for the probability of ruin in the compound Poisson risk process

DOI10.2143/AST.40.1.2049227MaRDI QIDQ3569713zbMATH OpenFDO

Authors Benjamin Baumgartner, Riccardo Gatto

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.40.1.2049227

zbMATH Keywords

Edgeworth expansionexponential claim amountslog-normal claim amountsnormal approximationP-valuepivotal quantityresamplingsecond-order quantity

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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

Cites work

• A bootstrap procedure for estimating the adjustment coefficients
• A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
• Bootstrap methods: another look at the jackknife
• Confidence bounds for the adjustment coefficient
• Conjugate processes and the simulation of ruin problems
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 1865747 (Why is no real title available?)
• Miscellanea Kernel-Type Density Estimation on the Unit Interval
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• The bootstrap and Edgeworth expansion

Cited in

(2)

• Interval estimation of the ruin probability in the classical compound Poisson risk model
• A nonparametric sequential test with power 1 for the ruin probability in some risk models

Describes a project that uses

Uses Software

• R

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