Adjustment coefficient for risk processes in some dependent contexts
Statistics Theory
2009-01-05 v1 Probability
Applications
Statistics Theory
Abstract
Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coefficient, and perform some simulations.
Keywords
Cite
@article{arxiv.0901.0182,
title = {Adjustment coefficient for risk processes in some dependent contexts},
author = {H. Cossette and E. Marceau and V. Maume-Deschamps},
journal= {arXiv preprint arXiv:0901.0182},
year = {2009}
}