Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model

DOI10.1016/0167-6687(95)00017-MzbMath0844.62086MaRDI QIDQ1904996

Ralf Christ, Josef G. Steinebach

Publication date: 6 February 1996

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

convergence ratestime seriessimulation resultsruin probabilitystrong consistencyadjustment coefficientfinite sample behaviourARMA\((p,q)\) risk modelempirical-moment generating function type estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

A discrete-time risk model with Poisson ARCH claim-number process ⋮ Adjustment coefficient for risk processes in some dependent contexts ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables

Uses Software

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Cites Work

• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• A note on the adjustment coefficient in ruin theory
• The probability of ruin in a process with dependent increments
• Time series: theory and methods.
• Empirical bounds for ruin probabilities
• On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures
• Ruin theory in the linear model
• Empirical Laplace transform and approximation of compound distributions
• On Some alternative estimates of the adjustment coefficient in risk theory
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