RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2002 Volume 47, Issue 1, Pages 3–20 (Mi tvp2954)

This article is cited 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

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

DOI: 10.4213/tvp2954


 English version:
Theory of Probability and its Applications, 2003, 47:1, 1–16

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2025