A new aspect of a risk process and its statistical inference

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

We introduce a new aspect of a risk process, which is a macro approximation of the flow of a risk reserve. We assume that the underlying process consists of a Brownian motion plus negative jumps, and that the process is observed at discrete time points. In our context, each jump size of the process does not necessarily correspond to the each claim size. Therefore our risk process is different from the traditional risk process. We cannot directly observe each jump size because of discrete observations. Our goal is to estimate the adjustment coefficient of our risk process from discrete observations.

Original languageEnglish
Pages (from-to)70-77
Number of pages8
JournalInsurance: Mathematics and Economics
Volume44
Issue number1
DOIs
Publication statusPublished - 2009 Feb
Externally publishedYes

Fingerprint

Risk Process
Statistical Inference
Discrete Observations
Jump
Adjustment Coefficient
Brownian motion
Discrete-time
Statistical inference
Risk process
Approximation
Estimate

Keywords

  • Adjustment coefficients
  • Diffusion perturbations
  • Discrete observations
  • Risk process
  • Statistical inference

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Economics and Econometrics
  • Statistics and Probability

Cite this

A new aspect of a risk process and its statistical inference. / Shimizu, Yasutaka.

In: Insurance: Mathematics and Economics, Vol. 44, No. 1, 02.2009, p. 70-77.

Research output: Contribution to journalArticle

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