Confidence bounds for the adjustment coefficient

DOI10.2307/1428182zbMath0856.62094OpenAlexW2333759097MaRDI QIDQ4715307

Paul Embrechts, Rudolf Grübel, Susan M. Pitts

Publication date: 9 December 1996

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1428182

zbMATH Keywords

bootstraprandom walksimulation studyconfidence boundscoverage probabilitiesbias correctionadjustment coefficientrisk theorySparre Andersen modelinterval estimatesprobability of eventual ruinjackknife estimation of asymptotic variances

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15) Sums of independent random variables; random walks (60G50)

Related Items (13)

ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE ⋮ Adjustment coefficient for risk processes in some dependent contexts ⋮ Limiting behaviour of a geometric-type estimator for tail indices. ⋮ Nonparametric statistical analysis of an upper bound of the ruin probability under large claims ⋮ A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process ⋮ A nonparametric sequential test with power 1 for the ruin probability in some risk models ⋮ Edgeworth expansion for an estimator of the adjustment coefficient ⋮ Weak convergence of a bootstrap geometric-type estimator with applications to risk theory ⋮ A Functional Approach for Ruin Probabilities ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model ⋮ Monitoring risk in a ruin model perturbed by diffusion ⋮ Nonparametric estimation in renewal theory. II: Solutions of renewal-type equations. ⋮ Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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