A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

Benjamin Baumgartner, Riccardo Gatto
2010 ASTIN Bulletin: The Journal of the International Actuarial Association  
In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and
more » ... erform their analogues based on the asymptotic normal approximation.
doi:10.2143/ast.40.1.2049227 fatcat:6texwtwxmfem3bwusxkocfyci4