Description Usage Arguments Details Value Note See Also

This function computes the test statistic for the test of the probability of ruin

1 | ```
rpteststat(x, x.null, se)
``` |

`x` |
The observed/estimated probability of ruin |

`x.null` |
The null probability of ruin |

`se` |
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 `x.null`

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
of `x.null`

. In this case the output is a matrix with `length(x)`

columns and
`length(x.null)`

rows.

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 `x`

has
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 `x`

and `se`

have to be the same.

See `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.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.