Nonparametric statistical analysis of an upper bound of the ruin probability under large claims

DOI10.1007/s10687-009-0094-6zbMath1226.91023OpenAlexW1999937016MaRDI QIDQ650744

Esterina Masiello, Pier Luigi Conti

Publication date: 27 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0094-6

zbMATH Keywords

asymptoticsheavy-tailed distributionnonparametric estimationprobability of ruinPoisson risk model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (1)

On semiparametric estimation of ruin probabilities in the classical risk model

Cites Work

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• Confidence bounds for the adjustment coefficient
• A non-exponential generalization of an inequality arising in queueing and insurance risk
• Tail of compound distributions and excess time
• Ordering of risks and ruin probabilities

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