Adjustment coefficient for risk processes in some dependent contexts

DOI10.1007/s11009-010-9182-yzbMath1368.62241arXiv0901.0182MaRDI QIDQ429976

Véronique Maume-Deschamps, Hélène Cossette, Étienne Marceau

Publication date: 20 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.0182

zbMATH Keywords

risk process; ruin theory; weak dependence; adjustment coefficient; non parametric estimation

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

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

62M09: Non-Markovian processes: estimation

60G10: Stationary stochastic processes

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