Estimators and Bootstrap Confidence Intervals for Ruin Probabilities

Christian Hipp

30 citations0/0 files storedAstin Bulletin

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

Abstract For the infinite time ruin probability in the classical risk process, efficient estimators are proposed in cases in which the claim amount distribution is unknown. Confidence intervals are computed which are based on normal approximations or on the bootstrap method. The procedures are checked in a Monte-Carlo study.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

1970Mathematical Methods in Risk Theory 1986Nonparametric Estimation of Probability of Ruin 1986Nonparametric Estimation of the Probability of Ruin

Cited by

2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation 1996Confidence bounds for the adjustment coefficient 1991A bootstrap procedure for estimating the adjustment coefficient

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.