Institute of Mathematics and Statistics,
University of Kent at Canterbury,
Statistics Seminar -- Trinity Term 2000
Thursday, 4th May 2000
Dr Kostas Politis
(University of Southampton)
Title: Nonparametric estimation for ruin probabilities
Abstract:
In the classical risk model with Poisson arrivals, we consider a
nonparametric estimator for the probability of ruin $\psi$. The
estimator is made available when a sample from the
claim size distribution $F$ is given. This estimator is found by
evaluating the functional that maps $\psi$ onto $F$ at the empirical
distribution function based on the random
sample. Strong consistency and asymptotic normality of the proposed
estimator are established using appropriate continuity and
differentiability properties for the functional, and
bootstrap confidence bounds for the probability of ruin are also
obtained.
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Further details of the seminar programme and abstracts of
forthcoming talks are available from:
http://www.ukc.ac.uk/IMS/statistics/people/T.Sapatinas/seminars/
seminars.html
All are very welcome. The Statistics Seminars will be held in
Mathematics Lecture Theatre in the Institute of Mathematics and
Statistics, Cornwallis Building.
The following WWW page contain details of how to get to the
campus, and how to find your way around:
http://www.ukc.ac.uk/ukc/location.html
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Dr Theofanis Sapatinas,
Lecturer in Statistics,
Postal Address: Institute of Mathematics and Statistics,
University of Kent at Canterbury,
Canterbury, Kent CT2 7NF,
United Kingdom.
Tel: ++(44)-1227-827253
Fax: ++(44)-1227-827932
Email: [log in to unmask]
URL: http://www.ukc.ac.uk/IMS/statistics/people/T.Sapatinas/
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