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.