Ruin theory in the linear model

DOI10.1016/0167-6687(82)90008-7zbMath0505.62086OpenAlexW2009949580MaRDI QIDQ1836459

Hans U. Gerber

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0167-6687(82)90008-7

zbMATH Keywords

linear modelcredibilityautoregressive modelruin theoryadjustment coefficientmoving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (26)

Approximation of the initial reserve for known ruin probabilities ⋮ On the typical level crossing time and path ⋮ Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model ⋮ Long strange segments, ruin probabilities and the effect of memory on moving average processes ⋮ The linear growth credibility model ⋮ Ruin probabilities for Bayesian exchangeable claims processes ⋮ Ruin problems for an autoregressive risk model with dependent rates of interest ⋮ Adjustment coefficient for risk processes in some dependent contexts ⋮ Asymptotic ruin probabilities for risk processes with dependent increments. ⋮ Ruin probabilities for time-correlated claims in the compound binomial model. ⋮ Exponential bounds for ruin probability in two moving average risk models with constant interest rate ⋮ The probability of ruin in a process with dependent increments ⋮ The linear model revisited ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables ⋮ A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization ⋮ On boundedness and stability of solutions of nonlinear difference equation with nonmartingale type noise ⋮ Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald ⋮ Large deviations for Bayesian estimators in first-order autoregressive processes ⋮ UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS ⋮ An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes ⋮ Risk models based on time series for count random variables ⋮ A time-series risk model with constant interest for dependent classes of business ⋮ Upper bounds for ruin probabilities in two dependent risk models under rates of interest ⋮ Exchangeable claim sizes in a compound Poisson-type process ⋮ A class of autoregressive models for predicting the final claims amount ⋮ Impact of Underwriting Cycles on the Solvency of an Insurance Company

Cites Work

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• The credibility approach to experience rating
• Recursive credibility estimation
• Bestimmung und Vergleich verschiedener Kredibilitätsformeln bei erfahrungstarifiertem Portefeuille
• Credibility theory for some evolutionary models
• Two classes of covariance matrices giving simple linear forecasts

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