Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes

DOI10.1137/S0040585X9797941XzbMath1036.62108OpenAlexW1996658699MaRDI QIDQ4442883

V. Yu. Korolev, Vladimir Bening

Publication date: 21 January 2004

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x9797941x

zbMATH Keywords

confidence intervalsconsistencyrisk processruin probabilityunbiasednessgeneralized risk processrandom sequences with random indices

Mathematics Subject Classification ID

Related Items (11)

SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL ⋮ Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation ⋮ On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ Parametric inference for ruin probability in the classical risk model ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ Review of statistical actuarial risk modelling ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

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