Nonparametric estimators for the probability of ruin

DOI10.1016/0167-6687(90)90024-8zbMath0711.62096OpenAlexW2060651996MaRDI QIDQ923576

Noël Veraverbeke, Kristof Croux

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90024-8

zbMATH Keywords

Poisson risk modelinfinite horizon time probability of ruinlinear combinations of U-statisticsvarying kernel

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (21)

Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Semiparametric estimation in the optimal dividend barrier for the classical risk model ⋮ Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation ⋮ On semiparametric estimation of ruin probabilities in the classical risk model ⋮ On a nonparametric estimator for ruin probability in the classical risk model ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ Risk models with stochastic premium and ruin probability estimation ⋮ Parametric inference for ruin probability in the classical risk model ⋮ On a nonparametric estimator for the finite time survival probability with zero initial surplus ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Nonparametric estimation for a spectrally negative Lévy process based on high frequency data ⋮ Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ Review of statistical actuarial risk modelling ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

Cites Work

• Nonparametric renewal function estimation
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Limit theorems for a triangular scheme of U-statistics with applications to inter-point distances
• Approximation Theorems of Mathematical Statistics
• Central limit theorems for a class of symmetric statistics

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