Adjustment coefficient for risk processes in some dependent contexts
Cossette, H. · Marceau, E. · Maume-Deschamps, V.
Original · EN
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.
English translation
This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.