A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

DOI10.2143/AST.40.1.2049227zbMath1230.91067MaRDI QIDQ3569713

Benjamin Baumgartner, Riccardo Gatto

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

resamplingnormal approximationEdgeworth expansionpivotal quantityP-valueexponential claim amountslog-normal claim amountssecond-order quantity

Mathematics Subject Classification ID

Related Items (1)

Interval estimation of the ruin probability in the classical compound Poisson risk model

Uses Software

• R

Cites Work

• Miscellanea Kernel-Type Density Estimation on the Unit Interval
• A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• Conjugate processes and the simulation of ruin problems
• A bootstrap procedure for estimating the adjustment coefficients
• Bootstrap methods: another look at the jackknife
• Confidence bounds for the adjustment coefficient
• The bootstrap and Edgeworth expansion
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