Title: A Bootstrap test for the probability of ruin in the compound poisson risk process / Benjamin Baumgartner, Riccardo Gatto
Author: Baumgartner, Benjamin
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.
Other categories: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/