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

DOI10.1007/S10687-009-0094-6zbMATH Open1226.91023OpenAlexW1999937016MaRDI QIDQ650744FDOQ650744

Esterina Masiello, Pier Luigi Conti

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

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• Semiparametric Estimation for Non-Ruin Probabilities
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
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• Nonparametric estimators for the probability of ruin

zbMATH Keywords

asymptoticsnonparametric estimationheavy-tailed distributionprobability of ruinPoisson risk model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Cites Work

• Approximation Theorems of Mathematical Statistics
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• Aspects of risk theory
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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Lundberg approximations for compound distributions with insurance applications
• Refinements and distributional generalizations of Lundberg's inequality
• Confidence bounds for the adjustment coefficient
• Some improvements on the Lundberg bound for the ruin probability
• On the relationship between bounds on the tails of compound distributions
• A nonparametric sequential test with power 1 for the ruin probability in some risk models
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• Bounds on the delay distribution in GI/G/1 queues
• Lundberg bounds on the tails of compound distributions
• Simplified bounds on the tails of compound distributions
• A non-exponential generalization of an inequality arising in queueing and insurance risk
• Tail of compound distributions and excess time
• Ordering of risks and ruin probabilities
• Bounds for classical ruin probabilities

Cited In (5)

• Nonparametric estimation of ruin probabilities given a random sample of claims
• Semiparametric Estimation for Non-Ruin Probabilities
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• Calculation of confidence intervals for ruin probability in a generalized risk process
• On semiparametric estimation of ruin probabilities in the classical risk model

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