Parametric inference for ruin probability in the classical risk model
type: Item
instance of: scholarly article
title: Parametric inference for ruin probability in the classical risk model
zbMATH Open document ID: 1380.62245
author: Takayoshi Oshime
author: Yasutaka Shimizu
published in: Statistics \& Probability Letters
publication date: 2018-01-23T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62F25
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6828737
zbMATH Keywords: ruin probability
zbMATH Keywords: small claims
zbMATH Keywords: Cramér approximation
zbMATH Keywords: delta method
zbMATH Keywords: asymptotic confidence interval
MaRDI profile type: Publication
full work available at URL: j.spl.2017.09.020
OpenAlex ID: W2766602100
cites work: Q3560912
cites work: Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
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cites work: Nonparametric estimation of ruin probabilities given a random sample of claims
cites work: A new aspect of a risk process and its statistical inference
cites work: Estimation of the expected discounted penalty function for Lévy insurance risks
cites work: Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
cites work: Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
cites work: Asymptotic Statistics
cites work: Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
DOI: 10.1016/J.SPL.2017.09.020
description: scientific article; zbMATH DE number 6828737