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

The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities. So-called partly shifted risk processes are introduced, and used to derive an explicit expression of the asymptotic variance of the considered estimator. This provides a clear representation of the influence function associated with finite time ruin probabilities, giving a useful tool to quantify estimation risk according to new regulations.