A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process
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by
Benjamin Baumgartner, Riccardo Gatto
2010 Volume 40, Issue 01, p241-255
Abstract
<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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