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Université de Fribourg

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

Loisel, Stéphane ; Mazza, Christian ; Rullière, Didier

In: Insurance: Mathematics and Economics, 2009, vol. 45, no. 3, p. 374-381

In the classical risk model, we prove the weak convergence of a sequence of empirical finite-time ruin probabilities. In an earlier paper (see Loisel et al., (2008)), we proved an equivalent result in the special case where the initial reserve is zero, and checked that numerically the general case seems to be true. In this paper, we prove the general case (with a nonnegative initial reserve),...

Université de Fribourg

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin

Loisel, Stéphane ; Mazza, Christian ; Rullière, Didier

In: Insurance: Mathematics and Economics, 2008, vol. 42, no. 2, p. 746-762

We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from zero initial reserve toward a Gaussian random variable. We define the concepts of reliable finite-time...

2 risultati 1