Maximum likelihood estimation of ruin probability in the classical risk model with exponential claims
محفوظ في:
| المؤلفون: | , , |
|---|---|
| التنسيق: | artículo original |
| الحالة: | Versión publicada |
| تاريخ النشر: | 2022 |
| الوصف: | Maximum likelihood estimators are calculated for the parameters that define the compound Poisson process in the classical risk process with exponential claims. It is proved consistency and asymptotic normality for estimators obtained. Finally, with the help of invariance property of the maximum likelihood estimators, asymptotic normality and delta method, point and interval estimation of the ruin probability is performed. |
| البلد: | Portal de Revistas UCR |
| المؤسسة: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| اللغة: | Español |
| OAI Identifier: | oai:portal.ucr.ac.cr:article/47938 |
| الوصول للمادة أونلاين: | https://revistas.ucr.ac.cr/index.php/matematica/article/view/47938 |
| كلمة مفتاحية: | ruin probability maximum likelihood estimation classical ruin model delta method estimación máxima verosimilitud probabilidad de ruina modelo clásico de ruina método delta |