Adjustment Coefficient for Risk Processes in Some Dependent Contexts

Hélène Cossette (1) , Etienne Marceau (1) , Véronique Maume-Deschamps (2)

1 Ecole d'Actuariat
2 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Mots clés: Adjustment coefficient; Risk process; Ruin theory; Non parametric estimation; Weak dependence

Domaines: Statistiques [math.ST]; Théorie [stat.TH]; Probabilités [math.PR]

Hélène Cossette, Etienne Marceau, Véronique Maume-Deschamps. Adjustment Coefficient for Risk Processes in Some Dependent Contexts. Methodology and Computing in Applied Probability, 2010, pp.1. ⟨10.1007/s11009-010-9182-y⟩. ⟨hal-00504014⟩