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Teoriya Veroyatnostei i ee Primeneniya, 2002, Volume 47, Issue 1, Pages 3–20
DOI: https://doi.org/10.4213/tvp2954 (Mi tvp2954) 		 
This article is cited in 9 scientific papers (total in 9 papers)

Nonparametric estimation of the ruin probability for generalized risk processes

V. E. Bening, V. Yu. Korolev

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Full-text PDF (1669 kB) Citations (9)
DOI: https://doi.org/10.4213/tvp2954
Abstract: In this paper we construct a statistical estimator of the ruin probability for a generalized risk process characterized by the stochastic character of the premium rate and of the intensity of insurance payments. The asymptotic properties of the proposed estimator are considered. Algorithms are proposed for the construction of approximate nonparametric confidence intervals for the ruin probability.
Keywords: risk process, generalized risk process, ruin probability, random sequences with random indices, unbiasedness, consistency, confidence intervals.
Received: 08.04.1999
English version:
Theory of Probability and its Applications, 2003, Volume 47, Issue 1, Pages 1–16
DOI: https://doi.org/S0040585X9797941X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. E. Bening, V. Yu. Korolev, “Nonparametric estimation of the ruin probability for generalized risk processes”, Teor. Veroyatnost. i Primenen., 47:1 (2002), 3–20; Theory Probab. Appl., 47:1 (2003), 1–16
Citation in format AMSBIB
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\by V.~E.~Bening, V.~Yu.~Korolev
\paper Nonparametric estimation of the ruin probability for generalized
risk processes
\jour Teor. Veroyatnost. i Primenen.
\yr 2002
\vol 47
\issue 1
\pages 3--20
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\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1978692}
\zmath{https://zbmath.org/?q=an:1036.62108}
\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
\issue 1
\pages 1--16
\crossref{https://doi.org/S0040585X9797941X}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000183800400001}
Linking options:
  • https://www.mathnet.ru/eng/tvp2954
  • https://doi.org/10.4213/tvp2954
  • https://www.mathnet.ru/eng/tvp/v47/i1/p3
    • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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