Empirical bounds for ruin probabilities
Empirical bounds for ruin probabilities
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DOI：
10.1016/0304-4149(79)90001-2
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发表时间：
1979-05
影响因子：
1.4
通讯作者：
J. Grandell
中科院分区：
文献类型：
--
作者：
J. Grandell
我们考虑保险业务的经典模型，其中索赔发生根据泊松过程，每个索赔的成本分布满足Cramér的尾部条件。在这些条件下，Lundberg常数R是破产计算的基本重要性。我们得到的估计R，基于一个观察的保险业务，并调查这些估计的统计性质。我们进一步得到破产概率的界和置信区间。
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 constantRis of fundamental importance for ruin calculations.We derive estimates ofR, 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.