Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model

DOI10.1007/s11009-011-9212-4zbMath1416.62590OpenAlexW2056378333MaRDI QIDQ1930460

Li Qin, Susan M. Pitts

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9212-4

zbMATH Keywords

functional central limit theoremempirical processesruin timefast Fourier transform algorithminfinite-dimensional delta methodfinite-time survival probabilities

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (4)

De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ On a nonparametric estimator for the finite time survival probability with zero initial surplus ⋮ A Fourier-cosine method for finite-time ruin probabilities

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