The Financial Ruin Problem Revisited via a Test of Stochastic Dominance

Autor:	Dia, Galaye
Přispěvatelé:	HAL-SU, Gestionnaire
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	regressogram superposition aggregate claim and prenium amount 60G25 60G55 claim amount mean inter-arrival claim and prenium intensity [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST] Point process mean intensity of the claim and prenium process
Popis:	This paper was announced in [4] where we estimated a régression fonction of a accumulated claim fonction on the corresponding accumulated waiting time to predict the ruin arrivai time in the case of a deterministic barrier. This led to an analytic discussion. Here we study the case of a random barrier [9]. A test of stochastic dominance based on a Gumbell's law will be used. The estimation utilized is again the Tukey regressogram method.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______166::7882270f0736372104f22f319cc9690e https://hal.archives-ouvertes.fr/hal-03615533 Zobrazit plný text záznamu