Ruin theory in the linear model

DOI10.1016/0167-6687(82)90008-7MaRDI QIDQ1836459zbMATH OpenOpenAlexFDO

Authors H. U. Gerber

Publication date 1982

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(82)90008-7

zbMATH Keywords

adjustment coefficientautoregressive modelcredibilitylinear modelmoving average modelruin theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• Bestimmung und Vergleich verschiedener Kredibilitätsformeln bei erfahrungstarifiertem Portefeuille
• Credibility theory for some evolutionary models
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
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• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Recursive credibility estimation
• The credibility approach to experience rating
• Two classes of covariance matrices giving simple linear forecasts

Cited in

(27)

• A class of autoregressive models for predicting the final claims amount
• Approximation of the initial reserve for known ruin probabilities
• The probability of ruin in a process with dependent increments
• The linear model revisited
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Ruin probabilities for time-correlated claims in the compound binomial model.
• On the typical level crossing time and path
• Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model
• Risk models based on time series for count random variables
• On boundedness and stability of solutions of nonlinear difference equation with nonmartingale type noise
• Upper bounds for ruin probabilities in two dependent risk models under rates of interest
• Exchangeable claim sizes in a compound Poisson-type process
• The linear growth credibility model
• Discrete-time risk models on time series for count random variables
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
• Ruin problems for an autoregressive risk model with dependent rates of interest
• Adjustment coefficient for risk processes in some dependent contexts
• Impact of underwriting cycles on the solvency of an insurance company
• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
• Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald
• Long strange segments, ruin probabilities and the effect of memory on moving average processes
• Dividend optimization problem in the moving average risk model
• Ruin probabilities for Bayesian exchangeable claims processes
• Exponential bounds for ruin probability in two moving average risk models with constant interest rate
• Large deviations for Bayesian estimators in first-order autoregressive processes
• An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
• A time-series risk model with constant interest for dependent classes of business

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