A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process release_6texwtwxmfem3bwusxkocfyci4

by Benjamin Baumgartner, Riccardo Gatto

Published in ASTIN Bulletin: The Journal of the International Actuarial Association by Cambridge University Press (CUP).

2010   Volume 40, Issue 01, p241-255


<jats:title>Abstract</jats:title> In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.
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