Adjustment Coefficient for Risk Processes in Some Dependent Contexts

Hélène Cossette (), Etienne Marceau () and Véronique Maume-Deschamps ()
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Hélène Cossette: Université Laval
Etienne Marceau: Université Laval
Véronique Maume-Deschamps: Université de Lyon, Université Lyon 1, ISFA

Methodology and Computing in Applied Probability, 2011, vol. 13, issue 4, 695-721

Abstract: Abstract Following Müller 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.

Keywords: Adjustment coefficient; Risk process; Ruin theory; Non parametric estimation; Weak dependence; 37A50; 60E15; 37D20 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11009-010-9182-y

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