Stochastic Discounting, Aggregate Claims, and the Bootstrap

DOI10.2307/1427586zbMATH Open0807.62083OpenAlexW2320911024MaRDI QIDQ4287976FDOQ4287976

Authors: Markus Aebi, Paul Embrechts, T. Mikosch 

Publication date: 1 March 1995

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427586

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zbMATH Keywords

metricsperpetuitybootstrap estimationgeneral point processaggregate claims amount

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (7)

• On a family of risk measures based on largest claims
• Statistical aspects of perpetuities
• Financial jeopardy
• Risk theory of the second and third kind
• Limit theorems for mixed max-sum processes with renewal stopping
• Delay in claim settlement and ruin probability approximations
• Convergence of the population dynamics algorithm in the Wasserstein metric

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