Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
type: Item
instance of: scholarly article
title: Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
zbMATH Open document ID: 1231.91213
author: Stéphane Loisel
author: Christian Mazza
author: Didier Rullière
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60K10
zbMATH DE Number: 6004654
zbMATH Keywords: finite-time ruin probability
zbMATH Keywords: robustness
zbMATH Keywords: Solvency II
zbMATH Keywords: reliable ruin probability
zbMATH Keywords: asymptotic normality
zbMATH Keywords: influence function
zbMATH Keywords: estimation risk solvency margin (ERSM)
zbMATH Keywords: partly shifted risk process
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2009.08.003
OpenAlex ID: W2081439526
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DOI: 10.1016/J.INSMATHECO.2009.08.003
description: scientific article; zbMATH DE number 6004654