On semiparametric estimation of ruin probabilities in the classical risk model
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Publication:4576853
DOI10.1080/03461238.2012.690247zbMATH Open1401.62212OpenAlexW2082285012MaRDI QIDQ4576853FDOQ4576853
Authors: Esterina Masiello 
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2012.690247
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Cites Work
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- BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
Cited In (28)
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Nonparametric estimation of the finite time ruin probability in the classical risk model
- Functional sensitivity analysis of ruin probability in the classical risk models
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
- Semiparametric Estimation for Non-Ruin Probabilities
- Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
- Statistical estimation for some dividend problems under the compound Poisson risk model
- A Fourier-cosine method for finite-time ruin probabilities
- A semiparametric technique to estimate survival probabilities
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Maximum likelihood estimation of ruin probability in the classical risk model with exponential claims
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- A bootstrap test for the probability of ruin in the compound Poisson risk process
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- On a nonparametric estimator for ruin probability in the classical risk model
- POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Interval estimation of the ruin probability in the classical compound Poisson risk model
- 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
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