Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
Stéphane Loisel (),
Christian Mazza () and
Didier Rulliere ()
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Christian Mazza: Département de Mathématiques - Albert-Ludwigs-Universität Freiburg
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The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities. So-called partly shifted risk processes are introduced, and used to derive an explicit expression of the asymptotic variance of the considered estimator. This provides a clear representation of the influence function associated with finite time ruin probabilities, giving a useful tool to quantify estimation risk according to new regulations.
Keywords: Estimation Risk Solvency Margin. (ERSM); Finite-time ruin probability; robustness; Solvency II; reliable ruin probability; asymptotic normality; influence function; partly shifted risk process; Estimation Risk Solvency Margin. (ERSM). (search for similar items in EconPapers)
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Published in Insurance Mathematics and Economics, 2009, 45 (3), pp.374-381. ⟨10.1016/j.insmatheco.2009.08.003⟩
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Journal Article: Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes (2009)
Working Paper: Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes (2007)
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