On robustness in risk theory

DOI10.1016/S0167-6687(01)00081-6zbMath1002.62081OpenAlexW2026913885MaRDI QIDQ5956044

Étienne Marceau, Jacques Rioux

Publication date: 13 January 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00081-6

zbMATH Keywords

robustnessinfluence functionmaximum likelihood estimatorruin probabilitycollective risk modelindividual risk modelminimum Cramer-von Mises estimatorplug-in estimatorsstop-loss premium

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

A robust prediction error criterion for pareto modelling of upper tails ⋮ SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL ⋮ Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model ⋮ Influence functions of empirical nonparametric estimators of net reinsurance premiums ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ Efficient and Robust Fitting of Lognormal Distributions ⋮ ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS ⋮ Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin ⋮ Robust and Efficient Methods for Credibility When Claims Are Approximately Gamma-Distributed ⋮ Robust and Efficient Fitting of Loss Models

Uses Software

• bootstrap

Cites Work

• Aspects of risk theory
• An efficient and robust adaptive estimator of location
• Minimum Hellinger distance estimates for parametric models
• The ``automatic robustness of minimum distance functionals
• The Minimum Distance Method
• The Influence Curve and Its Role in Robust Estimation
• Minimum cramér-von mises distance methods for complete and grouped data
• Classical numerical ruin probabilities
• Robust Statistics
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