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

Description

This package provides a bootstrap test for the probability of ruin in the classical (compound Poisson) risk process and some procedures for comparing the performance of the bootstrap test and the test using the asymptotic normal approximation.

Details

See the reference for more information.

Author(s)

Benjamin Baumgartner benjamin@baumgrt.com,
Riccardo Gatto gatto@stat.unibe.ch

References

Baumgartner, B. and Gatto, R. (2010) A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process. ASTIN Bulletin, 40(1), pp. 241–255.