Baumgartner, Benjamin; Gatto, Riccardo (2010). A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process. ASTIN bulletin, 40(1), pp. 241-255. Leuven: Cambridge University Press 10.2143/AST.40.1.2049227
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In 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.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Baumgartner, Benjamin |
ISSN: |
0515-0361 |
Publisher: |
Cambridge University Press |
Language: |
English |
Submitter: |
Lutz Dümbgen |
Date Deposited: |
04 Oct 2013 14:16 |
Last Modified: |
05 Dec 2022 14:04 |
Publisher DOI: |
10.2143/AST.40.1.2049227 |
Web of Science ID: |
000278627600010 |
BORIS DOI: |
10.7892/boris.4785 |
URI: |
https://boris.unibe.ch/id/eprint/4785 (FactScience: 209416) |
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