Approximation of the initial reserve for known ruin probabilities

DOI10.1016/0167-6687(86)90031-4zbMath0619.62099OpenAlexW2088039916MaRDI QIDQ1089712

Edward W. Frees

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90031-4

zbMATH Keywords

kernel estimationfinite timequantile estimationARMArisk theoryapproximation of the initial reverseCompound Poissonknown ruin probabilitiesnet liability processStochastic discounting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20)

Cites Work

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