bootruin-package: A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk process
Description
This package provides a bootstrap test for the probability of ruin in the classical (compound
Poisson) risk process and some procedures for comparing the performance of the bootstrap test and
the test using the asymptotic normal approximation.
Details
See the reference for more information.
References
Baumgartner, B. and Gatto, R. (2010) A Bootstrap Test for the Probability of Ruin in the
Compound Poisson Risk Process. ASTIN Bulletin, 40(1), pp. 241--255.