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

DOI10.1016/0167-6687(86)90026-0zbMath0614.62133MaRDI 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 coefficient; risk theory

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62L20: Stochastic approximation

Related Items

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

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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