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Estimators and Bootstrap Confidence Intervals for Ruin Probabilities

Published online by Cambridge University Press:  29 August 2014

Christian Hipp
Christian Hipp*
Affiliation:
University of Hamburg, FRG
*
Universität Hamburg, Institut für mathematische Stochastik, Bundesstrasse 55, D-2000 Hamburg 13.
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Abstract

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For the infinite time ruin probability in the classical risk process, efficient estimators are proposed in cases in which the claim amount distribution is unknown. Confidence intervals are computed which are based on normal approximations or on the bootstrap method. The procedures are checked in a Monte-Carlo study.

Keywords

Infinite time ruin probabilitiesnonparametric estimatorsconfidence intervalsbootstrap method
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 19 , Issue 1 , April 1989 , pp. 57 - 70
Copyright
Copyright © International Actuarial Association 1989

References

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