Abstract
In this chapter, we shall concentrate on statistical inference for ruin probability, which is an important final step in using the ruin probability in practice. As was seen in Sect. 1.1 or Sect. 2.3, since the ruin probability does not have a closed expression except for a few simple claim distributions, some studies on nonparametric inference exist; see, e.g., Frees [], Croux and Veraverbeke [], among others. Here we will consider a parametric inference for the asymptotic formula under the light-tailed condition: see Theorems 1.1.17 and 2.3.4, and construct confidence intervals for the true ruin probability. First, we shall consider the case of classical models, and after that, extend the result to the Lévy models.
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