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

Baumgartner, Benjamin ; Gatto, Riccardo

In: ASTIN Bulletin, 2010, vol. 40, no. 1, p. 241-255

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    Titre
    • A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process
    Auteur
    • Baumgartner, Benjamin. Institute of Mathematical Statistics and Actuarial Science, University of Bern, Alpeneggstrasse 22, 3012 Bern, Switzerland, E-mail: baumgartner@stat.unibe.ch, E-mail: gatto@stat.unibe.ch
    • Gatto, Riccardo. Institute of Mathematical Statistics and Actuarial Science, University of Bern, Alpeneggstrasse 22, 3012 Bern, Switzerland, E-mail: baumgartner@stat.unibe.ch, E-mail: gatto@stat.unibe.ch
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • ASTIN Bulletin, 2010, vol. 40, no. 1, p. 241-255. Cambridge University Press
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:303018
    Summary
    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