Adjustment coefficient for risk processes in some dependent contexts
H. Cossette, E. Marceau, V. Maume-Deschamps
TL;DR
This paper investigates the adjustment coefficient in ruin theory under dependent contexts, proposing a consistent estimator and validating it through simulations.
Contribution
It introduces a new estimator for the adjustment coefficient in dependent risk processes, extending previous models to account for temporal dependencies.
Findings
Estimator is consistent in dependent contexts
Simulations confirm the estimator's effectiveness
Extends ruin theory to dependent risk processes
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.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsProbability and Risk Models · Financial Risk and Volatility Modeling · Stochastic processes and financial applications