Keywords
maximum likelihood estimation
classical ruin model
delta method
estimación máxima verosimilitud
probabilidad de ruina
modelo clásico de ruina
método delta
How to Cite
Abstract
Maximum likelihood estimators are calculated for the parameters that define the compound Poisson process in the classical risk process with exponential claims. It is proved consistency and asymptotic normality for estimators obtained. Finally, with the help of invariance property of the maximum likelihood estimators, asymptotic normality and delta method, point and interval estimation of the ruin probability is performed.
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