Parametric inference for ruin probability in the classical risk model

Takayoshi Oshime and Yasutaka Shimizu

Statistics & Probability Letters, 2018, vol. 133, issue C, 28-37

Abstract: Consider the classical insurance surplus model with a parametric family for the claim distribution. Although we can construct an asymptotically normal estimator of the ruin probability from the claim data, the asymptotic variance is not easy to estimate since it includes the derivative of the ruin probability with respect to the parameter. This paper gives an explicit asymptotic formula for the asymptotic variance, which is easy to estimate, and gives an asymptotic confidence interval of ruin probability.

Keywords: Ruin probability; Small claims; Cramér approximation; Delta method; Asymptotic confidence interval (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.09.020

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