A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process
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| 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 |
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