Estimators and Bootstrap Confidence Intervals for Ruin Probabilities

Christian Hipp

ASTIN Bulletin, 1989, vol. 19, issue 1, 57-70

Abstract: For the infinite time ruin probability in the classical risk process, efficient estimators are proposed in cases in which the claim amount distribution is unknown. Confidence intervals are computed which are based on normal approximations or on the bootstrap method. The procedures are checked in a Monte-Carlo study.

Date: 1989
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