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A Bootstrap test for the probability of ruin in the compound poisson risk process

Recurso electrónico / electronic resource
MARC record
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20150014009‎$a‎Baumgartner, Benjamin
24512‎$a‎A Bootstrap test for the probability of ruin in the compound poisson risk process‎$c‎Benjamin Baumgartner, Riccardo Gatto
520  ‎$a‎In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 241-255