Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin

DOI10.1016/j.insmatheco.2007.08.007zbMath1152.91594OpenAlexW2086754040MaRDI QIDQ998292

Didier Rullière, Christian Mazza, Stéphane Loisel

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.08.007

zbMATH Keywords

robustnessasymptotic normalityinfluence functionfinite-time ruin probabilitySolvency IIestimation risk solvency margin (ERSM)reliable ruin probability

Mathematics Subject Classification ID

Related Items

Finite-time ruin probabilities for discrete, possibly dependent, claim severities ⋮ Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model ⋮ Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ On a nonparametric estimator for the finite time survival probability with zero initial surplus ⋮ A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process ⋮ Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• A link between wave governed random motions and ruin processes
• Nonparametric estimators for the probability of ruin
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Expansions for von Mises functionals
• A Generalization of the Ballot Problem and its Application in the Theory of Queues
• The Influence Curve and Its Role in Robust Estimation
• The probability of ruin in finite time with discrete claim size distribution
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• The Time Dependence of a Single-Server Queue with Poisson Input and General Service Times
• A Class of Statistics with Asymptotically Normal Distribution
• On the Asymptotic Distribution of Differentiable Statistical Functions
• Robust Statistics
• On robustness in risk theory

This page was built for publication: Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin