Parametric inference for ruin probability in the classical risk model

DOI10.1016/J.SPL.2017.09.020zbMath1380.62245OpenAlexW2766602100MaRDI QIDQ680468

Yasutaka Shimizu, Takayoshi Oshime

Publication date: 23 January 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.09.020

zbMATH Keywords

ruin probabilitydelta methodasymptotic confidence intervalCramér approximationsmall claims

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Estimación máxima verosimilitud de la probabilidad de ruina en el modelo de riesgo clásico con reclamaciones exponenciales

Cites Work

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• Nonparametric estimators for the probability of ruin
• A new aspect of a risk process and its statistical inference
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Estimation of the expected discounted penalty function for Lévy insurance risks
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
• Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
• Asymptotic Statistics
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes

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