# Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

## Author

## Abstract

## Suggested Citation

**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Post-Print hal-00168716, HAL.

*RePEc:hal:journl:hal-00168716*

DOI: 10.1016/j.insmatheco.2009.08.003

Note: View the original document on HAL open archive server: https://hal.science/hal-00168716

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## Other versions of this item:

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.

- Stéphane Loisel, 2007.
"

## References listed on IDEAS

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Post-Print hal-00168714, HAL.

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
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**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.

- Christian Mazza & Didier Rullière, 2004.
"
- Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008.
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**Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed**," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December. - Stéphane Loisel & Claude Lefèvre, 2009.
"
**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL. - Claude Lefèvre & Stéphane Loisel, 2009.
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**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September. - Picard, Philippe & Lefevre, Claude, 1998.
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**The moments of ruin time in the classical risk model with discrete claim size distribution**," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 157-172, November. - Marceau, Etienne & Rioux, Jacques, 2001.
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**On robustness in risk theory**," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 167-185, October. - Claude Lefèvre & Stéphane Loisel, 2008.
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**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL. - Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008.
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**Impact of correlation crises in risk theory**," Post-Print hal-00308782, HAL. - Frees, Edward W., 1986.
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**Nonparametric Estimation of the Probability of Ruin**," ASTIN Bulletin, Cambridge University Press, vol. 16(S1), pages 81-90, April. - Stéphane Loisel & Nicolas Privault, 2009.
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**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001.
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## Citations

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**Cited by:**

- Stéphane Loisel & Nicolas Privault, 2009.
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**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020.
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**Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments**," Working Papers hal-02905181, HAL. - Li Qin & Susan M. Pitts, 2012.
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**Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model**," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
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**Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation**," Post-Print hal-00372525, HAL.

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## More about this item

### Keywords

Estimation Risk Solvency Margin. (ERSM); Finite-time ruin probability; robustness; Solvency II; reliable ruin probability; asymptotic normality; influence function; partly shifted risk process; Estimation Risk Solvency Margin. (ERSM).;All these keywords.

### NEP fields

This paper has been announced in the following NEP Reports:- NEP-ECM-2007-09-16 (Econometrics)
- NEP-RMG-2007-09-16 (Risk Management)
- NEP-RMG-2009-08-22 (Risk Management)

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