Parametric inference for ruin probability in the classical risk model

DOI10.1016/J.SPL.2017.09.020MaRDI QIDQ680468zbMATH OpenOpenAlexFDO

Authors Takayoshi Oshime, Yasutaka Shimizu

Publication date 23 January 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2017.09.020

zbMATH Keywords

ruin probabilitydelta methodasymptotic confidence intervalsmall claimsCramér approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A new aspect of a risk process and its statistical inference
• Asymptotic Statistics
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Estimation of the expected discounted penalty function for Lévy insurance risks
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Nonparametric estimators for the probability of ruin
• Ruin probabilities

Cited in

(4)

• Maximum likelihood estimation of ruin probability in the classical risk model with exponential claims
• Interval estimation of the ruin probability in the classical compound Poisson risk model
• On semiparametric estimation of ruin probabilities in the classical risk model
• scientific article; zbMATH DE number 4143312 (Why is no real title available?)

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