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Journal Articles Methodology and Computing in Applied Probability Year : 2010

Adjustment Coefficient for Risk Processes in Some Dependent Contexts

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.
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Dates and versions

hal-00504014 , version 1 (19-07-2010)

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Hélène Cossette, Etienne Marceau, Véronique Maume-Deschamps. Adjustment Coefficient for Risk Processes in Some Dependent Contexts. Methodology and Computing in Applied Probability, 2010, pp.1. ⟨10.1007/s11009-010-9182-y⟩. ⟨hal-00504014⟩
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