On semiparametric estimation of ruin probabilities in the classical risk model

Esterina Masiello

Scandinavian Actuarial Journal, 2014, vol. 2014, issue 4, 283-308

Abstract: The ruin probability of an insurance company is a central topic in risk theory. We consider the classical Poisson risk model when the claim size distribution and the Poisson arrival rate are unknown. Given a sample of inter-arrival times and corresponding claims, we propose a semiparametric estimator of the ruin probability. We establish properties of strong consistency and asymptotic normality of the estimator and study bootstrap confidence bands. Further, we present a simulation example in order to investigate the finite sample properties of the proposed estimator.

Date: 2014
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DOI: 10.1080/03461238.2012.690247

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