Stochastic Discounting, Aggregate Claims, and the Bootstrap
Obtaining good estimates for the distribution function of random variables like S=∑i=1 ∞Z1⋯ ZiYi('perpetuity') and SN(t)=∑i=1 N(t)Yi('aggregate claim amount'), where the (Yi), (Zi) are independent i.i.d. sequences and (N(t)) is a general point process,...
| Veröffentlicht in: | Advances in Applied Probability. - Applied Probability Trust. - 26(1994), 1, Seite 183-206 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1994
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| Zugriff auf das übergeordnete Werk: | Advances in Applied Probability |
| Schlagworte: | Bootstrap Perpetuity Probability metrics Risk theory Stochastic discounting Mathematics Economics |