Empirical bounds for ruin probabilities

Jan Grandell

Stochastic Processes and their Applications, 1979, vol. 8, issue 3, 243-255

Abstract: We consider the classical model for an insurance business where the claims occur according to a Poisson process and where the distribution for the cost of each claim fulfills Cramér's tail-condition. Under these conditions Lundberg's constant R is of fundamental importance for ruin calculations. We derive estimates of R, based on an observation of the insurance business and investigate the statistical properties of those estimates. We further derive bounds and confidence intervals for ruin probabilities.

Keywords: Collective; risk; theory; first; passage; times; inference; for; stochastic; processes (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (3)

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