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|
|Date of revision:|
|Publication status:||Published, Insurance Mathematics and Economics, 2009, 45, 3, 374-381|
|Note:||View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00168716/en/|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
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