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On semiparametric estimation of ruin probabilities in the classical risk model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Masiello, Esterina |
| Copyright Year | 2014 |
| Abstract | The ruin probability of an insurance company is a central topic in risk theory. We consider the classical Poisson risk model when the claim size distribution and the Poisson arrival rate are unknown. Given a sample of inter-arrival times and corresponding claims, we propose a semiparametric estimator of the ruin probability. We establish properties of strong consistency and asymptotic normality of the estimator and study bootstrap confidence bands. Further, we present a simulation example in order to investigate the finite sample properties of the proposed estimator. |
| Starting Page | 283 |
| Ending Page | 308 |
| Page Count | 26 |
| File Format | PDF HTM / HTML |
| DOI | 10.1080/03461238.2012.690247 |
| Volume Number | 2014 |
| Alternate Webpage(s) | https://hal.archives-ouvertes.fr/hal-00266449/document |
| Alternate Webpage(s) | https://doi.org/10.1080/03461238.2012.690247 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
