Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

DOI10.1016/J.INSMATHECO.2009.08.003MaRDI QIDQ659157zbMATH OpenOpenAlexFDO

Authors Stéphane Loisel, Christian Mazza, Didier Rullière

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2009.08.003

zbMATH Keywords

asymptotic normalityestimation risk solvency margin (ERSM)finite-time ruin probabilityinfluence functionpartly shifted risk processreliable ruin probabilityrobustnessSolvency II

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• Nonparametric estimation of the finite time ruin probability in the classical risk model
• scientific article; zbMATH DE number 4143312
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• On semiparametric estimation of ruin probabilities in the classical risk model

Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• A Generalization of the Ballot Problem and its Application in the Theory of Queues
• A link between wave governed random motions and ruin processes
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• Nonparametric estimators for the probability of ruin
• On finite-time ruin probabilities for classical risk models
• On robustness in risk theory
• On the Asymptotic Distribution of Differentiable Statistical Functions
• Robust Statistics
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• Sensitivity analysis and density estimation for finite-time ruin probabilities
• The Influence Curve and Its Role in Robust Estimation
• The probability of ruin in finite time with discrete claim size distribution
• The Time Dependence of a Single-Server Queue with Poisson Input and General Service Times

Cited in

(6)

• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
• On a nonparametric estimator for the finite time survival probability with zero initial surplus
• An exponential martingale for compound Poisson process with latent variable and its applications
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin

This page was built for publication: Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659157)