A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

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)

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:

27 Apr 2018 11:05

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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