Empirical bounds for ruin probabilities
We consider the classical model for an insurance business where the claims occur according to a Poisson process and where the distribution for the cost of each claim fulfills Cramér's tail-condition. Under these conditions Lundberg's constant R is of fundamental importance for ruin calculations. We derive estimates of R, based on an observation of the insurance business and investigate the statistical properties of those estimates. We further derive bounds and confidence intervals for ruin probabilities.
Year of publication: |
1979
|
---|---|
Authors: | Grandell, Jan |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 8.1979, 3, p. 243-255
|
Publisher: |
Elsevier |
Keywords: | Collective risk theory first passage times inference for stochastic processes |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Grandell, Jan, (1991)
-
Grandell, Jan, (1991)
-
Simple approximations of ruin probabilities
Grandell, Jan, (2000)
- More ...