Semiparametric Estimation for Non-Ruin Probabilities

DOI10.1080/03461230308487zbMath1092.91054OpenAlexW1988500718MaRDI QIDQ5467670

Konstadinos Politis

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230308487

zbMATH Keywords

bootstrapfunctional central limit theoremsadjustment coefficientclassical risk modelprobability of non-ruininfinite dimensional delta method

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

Related Items (18)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation ⋮ On a nonparametric estimator for ruin probability in the classical risk model ⋮ 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 ⋮ Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ Unnamed Item ⋮ Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model ⋮ Nonparametric estimation for a spectrally negative Lévy process based on high frequency data ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

This page was built for publication: Semiparametric Estimation for Non-Ruin Probabilities