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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
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    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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4FNP089-1/2/6070e6d8821eaa5c030d46381082ab72
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 72 (2005)
    Issue (Month): 4 (May)
    Pages: 333-343

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    Handle: RePEc:eee:stapro:v:72:y:2005:i:4:p:333-343

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    Keywords: Sequential analysis Risk theory Ruin probability;

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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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