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On semiparametric estimation of ruin probabilities in the classical risk model

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  • Esterina Masiello

Abstract

The ruin probability of an insurance company is a central topic in risk theory. We consider the classical Poisson risk model when the claim size distribution and the Poisson arrival rate are unknown. Given a sample of inter-arrival times and corresponding claims, we propose a semiparametric estimator of the ruin probability. We establish properties of strong consistency and asymptotic normality of the estimator and study bootstrap confidence bands. Further, we present a simulation example in order to investigate the finite sample properties of the proposed estimator.

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  • Esterina Masiello, 2014. "On semiparametric estimation of ruin probabilities in the classical risk model," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2014(4), pages 283-308.
    • Handle: RePEc:taf:sactxx:v:2014:y:2014:i:4:p:283-308
    DOI: 10.1080/03461238.2012.690247
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