Baumgartner, Benjamin; Gatto, Riccardo (2010). A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process. ASTIN bulletin, 40(1), pp. 241255. 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 Pvalue approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide secondorder accurate Pvalues for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap Pvalues 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: 
05150361 
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) 