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Nonparametric estimation of compound distributions with applications in insurance

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  • S. Pitts

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Suggested Citation

  • 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.
  • Handle: RePEc:spr:aistmt:v:46:y:1994:i:3:p:537-555
    DOI: 10.1007/BF00773516
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    References listed on IDEAS

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    1. Croux, Kristof & Veraverbeke, Noel, 1990. "Nonparametric estimators for the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 127-130, September.
    2. Hipp, Christian, 1989. "Estimators and Bootstrap Confidence Intervals for Ruin Probabilities," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 19(01), pages 57-70, April.
    3. Embrechts, Paul & Maejima, Makoto & Teugels, Jozef L., 1985. "Asymptotic Behaviour of Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 15(01), pages 45-48, April.
    4. Frees, Edward W., 1986. "Nonparametric Estimation of the Probability of Ruin," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 16(S1), pages 81-90, April.
    5. 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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    Citations

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    Cited by:

    1. repec:eee:insuma:v:74:y:2017:i:c:p:99-108 is not listed on IDEAS
    2. N. Bingham & Susan Pitts, 1999. "Non-parametric Estimation for the M/G/∞ Queue," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(1), pages 71-97, March.
    3. Grübel, Rudolf & Pitts, Susan M., 2000. "Statistical Aspects of Perpetuities," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 143-162, October.
    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. 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.
    6. Lauer Alexandra & Zähle Henryk, 2016. "Nonparametric estimation of risk measures of collective risks," Statistics & Risk Modeling, De Gruyter, vol. 32(2), pages 89-102, March.

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