Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model (Q1904996)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model |
scientific article |
Statements
Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model (English)
0 references
6 February 1996
0 references
strong consistency
0 references
ruin probability
0 references
adjustment coefficient
0 references
ARMA\((p,q)\) risk model
0 references
empirical-moment generating function type estimator
0 references
time series
0 references
convergence rates
0 references
simulation results
0 references
finite sample behaviour
0 references
0 references
0 references
