Work

Estimators and Bootstrap Confidence Intervals for Ruin Probabilities

Year: 1989

Type: article

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.

Source: Astin Bulletin

DOI: 10.2143/ast.19.1.2014915

Author: Christian Hipp

Institution: Universität Hamburg

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

Funders: Universität Hamburg, Universität zu Köln, Centers for Disease Control and Prevention

OpenAlex ID: W2003097478