Estimators and Bootstrap Confidence Intervals for Ruin Probabilities
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- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,"
Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.
- Stéphane Loisel, 2007. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00397269, HAL.
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
- You, Honglong & Guo, Junyi & Jiang, Jiancheng, 2020. "Interval estimation of the ruin probability in the classical compound Poisson risk model," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- S. Pitts, 1994. "Nonparametric estimation of compound distributions with applications in insurance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(3), pages 537-555, September.
- Zhang, Zhimin & Yang, Hailiang, 2013. "Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 24-35.
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin,"
Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Post-Print hal-00168714, HAL.
- Zhang, Zhimin & Yang, Hailiang, 2014. "Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 168-177.
- Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
- Honglong You & Yuan Gao, 2019. "Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model," Mathematics, MDPI, vol. 7(6), pages 1-11, June.
- M. Concepcion Ausin & Michael P. Wiper & Rosa E. Lillo, 2009. "Bayesian estimation of finite time ruin probabilities," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 787-805, November.
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