Estimation of a regression function on a point process and its application to financial ruin risk forecast

zbMATH Open1224.62051MaRDI QIDQ3000758FDOQ3000758

Authors: Galaye Dia, A. Kone 

Publication date: 30 May 2011

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• scientific article; zbMATH DE number 4129816

zbMATH Keywords

ruin timesuperpositionaggregate claim amountregressogramclaim amountmean intensitymean inter-arrival claim intensity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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