A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process
By: Researcher
Disclaimer: The provided code links for this paper are external links. Science Nest has no responsibility for the accuracy, legality or content of these links. Also, by downloading this code(s), you agree to comply with the terms of use as set out by the author(s) of the code(s).
| Authors | Benjamin Baumgartner, Riccardo Gatto |
| Journal/Conference Name | ASTIN Bulletin |
| Paper Category | Other |
| Paper Abstract | 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. |
| Date of publication | 2010 |
| Code Programming Language | R |
| Comment |
Copyright Researcher 2022