A nonparametric sequential test with power 1 for the ruin probability in some risk models
AbstractIn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 72 (2005)
Issue (Month): 4 (May)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.