Maximum likelihood estimation of ruin probability in the classical risk model with exponential claims
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| Авторы: | , , |
|---|---|
| Формат: | artículo original |
| Статус: | Versión publicada |
| Дата публикации: | 2022 |
| Описание: | 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. |
| Страна: | Portal de Revistas UCR |
| Институт: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Язык: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/47938 |
| Online-ссылка: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/47938 |
| Ключевое слово: | ruin probability maximum likelihood estimation classical ruin model delta method estimación máxima verosimilitud probabilidad de ruina modelo clásico de ruina método delta |