Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
type: Item
instance of: scholarly article
title: Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
zbMATH Open document ID: 1152.91594
author: Stéphane Loisel
author: Christian Mazza
author: Didier Rullière
published in: Insurance Mathematics \& Economics
publication date: 2009-01-28T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5499599
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)
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2007.08.007
OpenAlex ID: W2086754040
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DOI: 10.1016/J.INSMATHECO.2007.08.007
description: scientific article; zbMATH DE number 5499599