Estimation of the Lundberg coefficient for a Markov modulated risk model

DOI10.1080/03461238.1997.10413977MaRDI QIDQ4248560zbMATH OpenOpenAlexFDO

Authors Hanspeter Schmidli

Publication date 28 November 1999

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1997.10413977

zbMATH Keywords

Cox modelruin probabilityHill's estimatortail probabilitiesadjustment coefficientLundberg exponent

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• A bootstrap procedure for estimating the adjustment coefficients
• A simple general approach to inference about the tail of a distribution
• Almost sure convergence of the Hill estimator
• Empirical bounds for ruin probabilities
• Estimating tails of probability distributions
• Exponential inequalities for ruin probabilities in the Cox case
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Finite-time Lundberg inequalities in the Cox case
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures
• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• Ruin probabilities expressed in terms of storage processes

Cited in

(9)

• Some state-specific exit probabilities in a Markov-modulated risk model
• Moments of the dividend payments and related problems in a Markov-modulated risk model
• Regime-Switching Periodic Models For Claim Counts
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures
• Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model
• Biased estimates of treatment effect in randomized experiments with nonlinear regressions and omitted covariates
• Constant barrier strategies in a two-state Markov-modulated dual risk model
• On the severity of ruin in a Markov-modulated risk model

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