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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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Correspondence to Véronique Maume-Deschamps.

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The research was financially supported by the Natural Sciences and Engineering Research Council of Canada and the Chaire d’actuariat de l’Université Laval. This work has been partially supported by the French Research National Agency (ANR) under the reference ANR-08-BLAN-0314-01. The authors would like to thank two anonymous referees whose comments helped to improve the redaction of the paper.

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Cossette, H., Marceau, E. & Maume-Deschamps, V. Adjustment Coefficient for Risk Processes in Some Dependent Contexts. Methodol Comput Appl Probab 13, 695–721 (2011). https://doi.org/10.1007/s11009-010-9182-y

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  • DOI: https://doi.org/10.1007/s11009-010-9182-y

Keywords

  • Adjustment coefficient
  • Risk process
  • Ruin theory
  • Non parametric estimation
  • Weak dependence

AMS 2000 Subject Classifications

  • 37A50
  • 60E15
  • 37D20