Adjustment Coefficient for Risk Processes in Some Dependent Contexts

作者：Cossette Helene; Marceau Etienne; Maume Deschamps Veronique^*

来源：Methodology and Computing in Applied Probability, 2011, 13(4): 695-721.

DOI：10.1007/s11009-010-9182-y

• Adjustment coefficient
• Risk process
• Ruin theory
• Non parametric estimation
• Weak dependence

Following Muller and Pflug (Insur Math Econ 28: 381-392, 2001) and Nyrhinen (Adv Appl Probab 30: 1008-1026, 1998; J Appl Probab 36: 733-746, 1999), we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator for this coefficient, and perform some simulations.

• 出版日期2011-12