Estimating the adjustment coefficient in Risk Theory
 
 
Description:  We consider the problem of estimating the adjustment coefficient R in the Sparre Andersen model, which allows us to estimate upper bounds for the ruin probability of insurance companies.

We propose a consistent estimator for R and establish a result about its asymptotic normality. Moreover, we show that it is possible to construct confidence intervals for R based on that estimator, using the tail bootstrap procedure.

We also compare the confidence intervals computed using the normal approximations and the tail bootstrap method. We present the results of a simulation study in some particular cases.

Date:  2011-09-16
Start Time:   12:00
Speaker:  Ana Cristina Moreira de Freitas (Fac. Economia, Univ. Porto)
Institution:  Faculdade de Economia da Universidade do Porto
Place:  Room 5.5
Research Groups: -Probability and Statistics
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