Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model (Q1904996)
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scientific article; zbMATH DE number 834211
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model |
scientific article; zbMATH DE number 834211 |
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Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model (English)
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6 February 1996
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strong consistency
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ruin probability
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adjustment coefficient
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ARMA\((p,q)\) risk model
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empirical-moment generating function type estimator
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time series
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convergence rates
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simulation results
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finite sample behaviour
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