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Estimators and Bootstrap Confidence Intervals for Ruin Probabilities

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  • Hipp, Christian

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.

Suggested Citation

  • Hipp, Christian, 1989. "Estimators and Bootstrap Confidence Intervals for Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 19(1), pages 57-70, April.
    • Handle: RePEc:cup:astinb:v:19:y:1989:i:01:p:57-70_00
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    Citations

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    Cited by:

    1. 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.
    2. 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).
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Honglong You & Yuan Gao, 2019. "Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model," Mathematics, MDPI, vol. 7(6), pages 1-11, June.
    9. 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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