Adjustment coefficient for risk processes in some dependent contexts

DOI10.1007/S11009-010-9182-YzbMATH Open1368.62241arXiv0901.0182OpenAlexW2012167410MaRDI QIDQ429976FDOQ429976

É. Marceau, Véronique Maume-Deschamps, Hélène Cossette

Publication date: 20 June 2012

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

Abstract: Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coefficient, and perform some simulations.

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

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zbMATH Keywords

weak dependencerisk processadjustment coefficientruin theorynon parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10)

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• EXPONENTIAL INEQUALITIES AND FUNCTIONAL ESTIMATIONS FOR WEAK DEPENDENT DATA: APPLICATIONS TO DYNAMICAL SYSTEMS
• Rough descriptions of ruin for a general class of surplus processes
• Confidence bounds for the adjustment coefficient
• Large deviations for the time of ruin
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• Title not available (Why is that?)

Cited In (4)

• Adjusting covariance matrix for risk management
• 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
• On Some alternative estimates of the adjustment coefficient in risk theory

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