Robust estimator of the ruin probability in infinite time for heavy-tailed distributions

IF 1.2 4区数学 Q2 STATISTICS & PROBABILITY

Statistics Pub Date : 2024-09-13 DOI:10.1080/02331888.2024.2402497

El Hadji Deme, Yousri Slaoui, Modou Kebe, Solym Manou-Abi

引用次数: 0

Abstract

The probability of ruin of an insurance company is one of the main risk measures considered in risk theory, and the problems of its calculation and approximation have attracted much attention. Stat...

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重尾分布无限时间内毁坏概率的稳健估算器

保险公司破产的概率是风险理论中考虑的主要风险度量之一，其计算和近似问题已引起广泛关注。统计...

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来源期刊

Statistics 数学-统计学与概率论

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 months

期刊介绍： Statistics publishes papers developing and analysing new methods for any active field of statistics, motivated by real-life problems. Papers submitted for consideration should provide interesting and novel contributions to statistical theory and its applications with rigorous mathematical results and proofs. Moreover, numerical simulations and application to real data sets can improve the quality of papers, and should be included where appropriate. Statistics does not publish papers which represent mere application of existing procedures to case studies, and papers are required to contain methodological or theoretical innovation. Topics of interest include, for example, nonparametric statistics, time series, analysis of topological or functional data. Furthermore the journal also welcomes submissions in the field of theoretical econometrics and its links to mathematical statistics.