Journal article

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

  • Loisel, Stéphane Université de Lyon 1, France
  • Mazza, Christian Department of Mathematics, University of Fribourg, Switzerland
  • Rullière, Didier Université de Lyon 1, France
    05.09.2007
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…
Faculty
Faculté des sciences et de médecine
Department
Département de Mathématiques
Language
  • English
Classification
Mathematics
License
License undefined
Identifiers
Persistent URL
https://folia.unifr.ch/unifr/documents/300720