Estimation of the Lundberg coefficient for a Markov modulated risk model

Hanspeter Schmidli

Scandinavian Actuarial Journal, 1997, vol. 1997, issue 1, 48-57

Abstract: For a Cox risk model with a piecewise constant intensity some random variables with an exponential tail are constructed and an estimation procedure for the Lundberg exponent (adjustment coefficient) is proposed. It is shown that in the case of a Markov modulated risk model the estimator is strongly consistent.

Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.1997.10413977 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:1997:y:1997:i:1:p:48-57

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.1997.10413977

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().