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

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  • Christ, Ralf
  • Steinebach, Josef

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  • Christ, Ralf & Steinebach, Josef, 1995. "Estimating the adjustment coefficient in an ARMA(p, q) risk model," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 149-161, October.
    • Handle: RePEc:eee:insuma:v:17:y:1995:i:2:p:149-161
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    References listed on IDEAS

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    1. Promislow, S. David, 1991. "The probability of ruin in a process with dependent increments," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 99-107, July.
    2. Grandell, Jan, 1979. "Empirical bounds for ruin probabilities," Stochastic Processes and their Applications, Elsevier, vol. 8(3), pages 243-255, May.
    3. Csorgo, Miklos & Steinebach, Josef, 1991. "On the estimation of the adjustment coefficient in risk theory via intermediate order statistics," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 37-50, March.
    4. Mammitzsch, V., 1986. "A note on the adjustment coefficient in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 147-149, April.
    5. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
    6. Herkenrath, Ulrich, 1986. "On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures," Insurance: Mathematics and Economics, Elsevier, vol. 5(4), pages 305-313, October.
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    Cited by:

    1. Hélène Cossette & Etienne Marceau & Véronique Maume-Deschamps, 2011. "Adjustment Coefficient for Risk Processes in Some Dependent Contexts," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 695-721, December.

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