Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities. So-called partly shifted risk processes are introduced, and used to derive an explicit expression of the asymptotic variance of the considered estimator. This provides a clear representation of the influence function associated with finite time ruin probabilities, giving a useful tool to quantify estimation risk according to new regulations.
|Date of creation:||Dec 2009|
|Publication status:||Published in Insurance Mathematics and Economics, 2009, 45 (3), pp.374-381. <10.1016/j.insmatheco.2009.08.003>|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00168716|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
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