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Document Details :

Title: A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process
Author(s): BAUMGARTNER, Benjamin , GATTO, Riccardo
Journal: ASTIN Bulletin
Volume: 40    Issue: 1   Date: 2010   
Pages: 241-255
DOI: 10.2143/AST.40.1.2049227

Abstract :
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.