Abstract
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 rum probabilities; nonparametric estimators; confidence intervals, bootstrap method.
Volume
19:1
Page
57-70
Year
1994
Categories
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Financial and Statistical Methods
Simulation
Monte Carlo Valuation
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Publications
ASTIN Bulletin
