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Baumgartner, Benjamin
A Bootstrap test for the probability of ruin in the compound poisson risk process
Benjamin Baumgartner, Riccardo Gatto
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.
MAP20077000420
03/05/2010 Volumen 40 NĂºmero 1 - mayo 2010 , p. 241-255
0515-0361
Astin bulletin
Belgium : ASTIN and AFIR Sections of the International Actuarial Association