The probability of ruin in a process with dependent increments

DOI10.1016/0167-6687(91)90003-GzbMath0747.62105MaRDI QIDQ1182770

S. David Promislow

Publication date: 28 June 1992

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

zbMATH Keywords

moving average modelestimation of ruin probabilitiesautoregressive model of order 1dependent increments

Mathematics Subject Classification ID

Related Items (10)

Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model ⋮ A discrete-time risk model with Poisson ARCH claim-number process ⋮ Long strange segments, ruin probabilities and the effect of memory on moving average processes ⋮ Ruin probabilities for Bayesian exchangeable claims processes ⋮ Asymptotic ruin probabilities for risk processes with dependent increments. ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables ⋮ 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 ⋮ Impact of Underwriting Cycles on the Solvency of an Insurance Company

Cites Work

• Ruin theory in the linear model
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