Smoothed Estimators for Risk Processes
نویسنده
چکیده
We consider a modified version of the de Finetti model in insurance risk theory for which we examine the problem of estimating the “time-in-the red” over a finite horizon. We propose a smoothed estimator based on a conditioning argument. We establish unbiasedness for this estimator, show that its variance is lower than the näıve estimator based on counts, and present simulation results which show that the smoothed estimator has significantly lower variance than that of the näıve estimator.
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تاریخ انتشار 2006