Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
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Publication:4442883
DOI10.1137/S0040585X9797941XzbMath1036.62108OpenAlexW1996658699MaRDI QIDQ4442883
V. Yu. Korolev, Vladimir Bening
Publication date: 21 January 2004
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x9797941x
confidence intervalsconsistencyrisk processruin probabilityunbiasednessgeneralized risk processrandom sequences with random indices
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SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL ⋮ Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation ⋮ On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ Parametric inference for ruin probability in the classical risk model ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ Review of statistical actuarial risk modelling ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
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