Abstract
AbstractFor 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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference7 articles.
1. Empirical bounds for ruin probabilities
2. Nonparametric Estimation of Probability of Ruin
3. Engeländer S. (1987). Konfidenzintervalle für empirische Ruinwahrscheinlickeiten: asymptotisches Verhalten und Monte-Carlo-Simulation. Diploma Thesis, University of Cologne.
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28 articles.
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