Maximum likelihood estimation of ruin probability in the classical risk model with exponential claims
Αποθηκεύτηκε σε:
| Συγγραφείς: | , , |
|---|---|
| Μορφή: | artículo original |
| Κατάσταση: | Versión publicada |
| Ημερομηνία έκδοσης: | 2022 |
| Περιγραφή: | 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. |
| Χώρα: | Portal de Revistas UCR |
| Ίδρυμα: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Γλώσσα: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/47938 |
| Διαθέσιμο Online: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/47938 |
| Λέξη-Κλειδί : | ruin probability maximum likelihood estimation classical ruin model delta method estimación máxima verosimilitud probabilidad de ruina modelo clásico de ruina método delta |