Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
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Loisel, Stéphane
Université de Lyon 1, France
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Mazza, Christian
Department of Mathematics, University of Fribourg, Switzerland
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Rullière, Didier
Université de Lyon 1, France
Published in:
- Insurance: Mathematics and Economics. - 2008, vol. 42, no. 2, p. 746-762
English
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... Show more…
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Faculty
- Faculté des sciences et de médecine
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Department
- Département de Mathématiques
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Language
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Classification
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Mathematics
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License
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License undefined
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Identifiers
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Persistent URL
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https://folia.unifr.ch/unifr/documents/300720