A Bootstrap test for the probability of ruin in the...

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Articles Articles A Bootstrap test for the probability of ruin in the compound poisson risk process - Baumgartner, Benjamin

Collection: Articles

Title: A Bootstrap test for the probability of ruin in the compound poisson risk process / Benjamin Baumgartner, Riccardo Gatto

Notes: Sumario: In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.

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