Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

DOI10.1016/j.insmatheco.2009.08.003zbMath1231.91213OpenAlexW2081439526MaRDI QIDQ659157

Didier Rullière, Christian Mazza, Stéphane Loisel

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.003

zbMATH Keywords

robustnessasymptotic normalityinfluence functionfinite-time ruin probabilitySolvency IIestimation risk solvency margin (ERSM)partly shifted risk processreliable ruin probability

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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