Nonparametric estimation of ruin probabilities given a random sample of claims

Autor:	Robert M. Mnatsakanov, Frits H. Ruymgaart, L. L. Ruymgaart
Rok vydání:	2008
Předmět:	Statistics and Probability Mean squared error Laplace transform Rate of convergence Laplace–Stieltjes transform Statistics Nonparametric statistics Two-sided Laplace transform Estimator Pollaczek–Khinchine formula Statistics Probability and Uncertainty Mathematics
Zdroj:	Mathematical Methods of Statistics. 17:35-43
ISSN:	1934-8045 1066-5307
DOI:	10.3103/s1066530708010031
Popis:	In this paper the well-known insurance ruin problem is reconsidered. The ruin probability is estimated in the case of an unknown claims density, assuming a sample of claims is given. An important step in the construction of the estimator is the application of a regularized version of the inverse of the Laplace transform. A rate of convergence in probability for the integrated squared error (ISE) is derived and a simulation study is included.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d5c01a506ea50251050307e5f637400f https://doi.org/10.3103/s1066530708010031 Zobrazit plný text záznamu Full text from SpringerLink