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A nonparametric sequential test with power 1 for the ruin probability in some risk models

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  • Conti, Pier Luigi

Abstract

In this paper we consider a nonparametric sequential test of power one for the Andersen risk model. The main motivation comes from applications to insurance, and in particular to the sequential control of the ruin probability of an insurance company. The properties of the proposed test are studied. In particular, it is shown that, under the alternative, both the stopping time of the test and its mean value are finite. Finally, approximations for the size of the test and for the expected value of the stopping time are provided.

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  • Conti, Pier Luigi, 2005. "A nonparametric sequential test with power 1 for the ruin probability in some risk models," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 333-343, May.
    • Handle: RePEc:eee:stapro:v:72:y:2005:i:4:p:333-343
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    References listed on IDEAS

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    1. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
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    Cited by:

    1. Abdelhakim Necir, 2006. "A Nonparametric Sequential Test with Power 1 for the Mean of Lévy-stable Laws with Infinite Variance," Methodology and Computing in Applied Probability, Springer, vol. 8(3), pages 321-343, September.

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