On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures

DOI10.1016/0167-6687(86)90026-0zbMath0614.62133OpenAlexW2015211578MaRDI QIDQ1819878

Ulrich Herkenrath

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90026-0

zbMATH Keywords

adjustment coefficientrisk theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20)

Related Items (5)

Estimation of the Lundberg coefficient for a Markov modulated risk model ⋮ On Some alternative estimates of the adjustment coefficient in risk theory ⋮ Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model ⋮ A bootstrap procedure for estimating the adjustment coefficients ⋮ On the estimation of the adjustment coefficient in risk theory via intermediate order statistics

Cites Work

• A note on the adjustment coefficient in ruin theory
• On the speed of convergence of the kiefer-wolfowitz stochastic approximation procedure
• A Dynamic Stochastic Approximation Method
• Asymptotic Distribution of Stochastic Approximation Procedures
• A Stochastic Approximation Method
• What is the Laplace Transform?
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