This function computes the test statistic for the test of the probability of ruin
rpteststat(x, x.null, se)
The observed/estimated probability of ruin
The null probability of ruin
The standard error of
This function studentizes (i.e., centers and rescales) the observed probabilities of ruin in a way
that they can be further processed by
rppvalue. This latter computes p-values for the
test with the null hypothesis that the probability of ruin is equal to
x.null versus the
one-sided alternative that probability of ruin is smaller than
There are two possible scenarios how to use this function:
The first one is to compute the test statistic for vector of estimated probabilities of ruin (where
each element corresponds to an independent sample of observed claims) using a pre-determined value
x.null. In this case the output is a matrix with
length(x) columns and
The second use is to compute the bootstrap replications of the test statistic. In that case the
estimated probabilities of ruin are used for
x.null, and the numbers of rows of
to match the length of
x.null, i.e. there is one row of bootstrap replications of the
probability of ruin for each sample of claim sizes.
A numeric matrix that contains the test statistic. Its dimension depends on the input, see Details.
The dimensions (or lengths) of
se have to be the same.
ruinprob on how to obtain the estimators of the probabilities of ruin,
rpjack on how to get approximate standard errors of the former, and
rppvalue on how to compute the p-values of the test described here.
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