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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...

Università della Svizzera italiana

Variable selection for marginal longitudinal generalized linear models

Cantoni, Eva ; Mills-Flemming, Joanna ; Ronchetti, Elvezio

In: Biometrics, 2005, vol. 61, no. 2, p. 507-514

Variable selection is an essential part of any statistical analysis and yet has been somewhat neglected in the context of longitudinal data analysis. In this paper we propose a generalized version of Mallows's Cp (GCp) suitable for use with both parametric and nonparametric models. GCp provides an estimate of a measure of model's adequacy for prediction. We examine its performance with popular...

2 results 1