Nonparametric statistical analysis of an upper bound of the ruin probability under large claims

DOI10.1007/s10687-009-0094-6zbMath1226.91023MaRDI QIDQ650744

Pier Luigi Conti, Esterina Masiello

Publication date: 27 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0094-6

zbMATH Keywords

asymptotics; heavy-tailed distribution; nonparametric estimation; probability of ruin; Poisson risk model

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

62G32: Statistics of extreme values; tail inference

Related Items

On semiparametric estimation of ruin probabilities in the classical risk model

Cites Work

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