Artikel
Nonparametric estimation of the ruin probability in the classical compound poisson risk model
In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density of the sizes of claims. We propose a nonparametric estimation approach which does not involve smoothing and thus is free of the bandwidth choice. Compared with the Fourier-transformation-based estimators, our estimators have simpler forms and thus are easier to calculate. We establish asymptotic distributions of our estimators, which allows us to consistently estimate the asymptotic variances of our estimators with the plug-in principle and enables interval estimates of the ruin probability.
- Sprache
-
Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 12 ; Pages: 1-12 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
classical risk model
nonparametric estimation
ruin probability
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gao, Yuan
Chen, Lingju
Jiang, Jiancheng
You, Honglong
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/jrfm13120298
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Gao, Yuan
- Chen, Lingju
- Jiang, Jiancheng
- You, Honglong
- MDPI
Entstanden
- 2020
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