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Estimators and Bootstrap Confidence Intervals for Ruin Probabilities
3 references·3 citing·18 second hop
Estimators and Bootstrap Confidence Intervals for Ruin Probabilities (1989)Estimators and Bootstrap Confidence Inter…Nonparametric Estimation of the Probability of Ruin (1986)Nonparametric Estimation of t…Nonparametric Estimation of Probability of Ruin (1986)Nonparametric Estimation of P…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation (2014)Nonparametric estimation for …Confidence bounds for the adjustment coefficient (1996)Confidence bounds for the adj…A bootstrap procedure for estimating the adjustment coefficient (1991)A bootstrap procedure for est…An introduction to mathematical risk theory (1979)Effective actuarial methods (1990)Empirical Laplace transform and approximation of compound distributions (1990)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Corrected diffusion approximations in certain random walk problems (1979)Estimation of the expected discounted penalty function for Lévy insurance risks (2011)Ruin probabilities and decompositions for general perturbed risk processes (2004)Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for pure jump Lévy processes based on high frequency data (2009)APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (2016)Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion (2018)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Aspects of Risk Theory (1991)Risk Theory: The Stochastic Basis of Insurance. (1978)On a nonparametric estimator for ruin probability in the classical risk model (2012)Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model (2013)Controlled diffusion models for optimal dividend pay-out (1997)On the Time Value of Ruin (1998)
this work references cited by second hop

References

  • 1970Mathematical Methods in Risk Theory721 cited
  • 1986Nonparametric Estimation of Probability of Ruin36 cited
  • 1986Nonparametric Estimation of the Probability of Ruin31 cited

Cited by

  • 2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation29 cited
  • 1996Confidence bounds for the adjustment coefficient27 cited
  • 1991A bootstrap procedure for estimating the adjustment coefficient26 cited

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