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150322s1994 xx |||||o 00| ||eng c |
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|a 10.2307/1427586
|2 doi
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|a (DE-627)JST00067849X
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|a (JST)1427586
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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|a 62P05
|2 MSC
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| 084 |
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|a 62G06
|2 MSC
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| 100 |
1 |
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|a Aebi, M.
|e verfasserin
|4 aut
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|a Stochastic Discounting, Aggregate Claims, and the Bootstrap
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|c 1994
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
|2 rdamedia
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|a Online-Ressource
|b cr
|2 rdacarrier
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|a 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, is a key question in insurance mathematics. In this paper, we show how suitably chosen metrics provide a theoretical justification for bootstrap estimation in these cases. In the perpetuity case, we also give a detailed discussion of how the method works in practice.
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|a Copyright 1994 Applied Probability Trust
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| 650 |
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4 |
|a Bootstrap
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| 650 |
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4 |
|a Perpetuity
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| 650 |
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4 |
|a Probability metrics
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| 650 |
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4 |
|a Risk theory
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| 650 |
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4 |
|a Stochastic discounting
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Banking
|x Central banking
|x Federal Reserve System
|x Discounting
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
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| 650 |
|
4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical theorems
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| 650 |
|
4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
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| 650 |
|
4 |
|a Mathematics
|x Mathematical procedures
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Measures of variability
|x Sample size
|x General Applied Probability
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| 655 |
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4 |
|a research-article
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| 700 |
1 |
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|a Embrechts, P.
|e verfasserin
|4 aut
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| 700 |
1 |
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|a Mikosch, T.
|e verfasserin
|4 aut
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| 773 |
0 |
8 |
|i Enthalten in
|t Advances in Applied Probability
|d Applied Probability Trust
|g 26(1994), 1, Seite 183-206
|w (DE-627)269247009
|w (DE-600)1474602-5
|x 00018678
|7 nnns
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| 773 |
1 |
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|g volume:26
|g year:1994
|g number:1
|g pages:183-206
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4 |
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|u https://www.jstor.org/stable/1427586
|3 Volltext
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| 856 |
4 |
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|u https://doi.org/10.2307/1427586
|3 Volltext
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|d 26
|j 1994
|e 1
|h 183-206
|