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 language | English |
|---|---|
| Pages (from-to) | 70-77 |
| Number of pages | 8 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 44 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2009 Feb |
| Externally published | Yes |
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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 journal › Article
}
TY - JOUR
T1 - A new aspect of a risk process and its statistical inference
AU - Shimizu, Yasutaka
PY - 2009/2
Y1 - 2009/2
N2 - 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.
AB - 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.
KW - Adjustment coefficients
KW - Diffusion perturbations
KW - Discrete observations
KW - Risk process
KW - Statistical inference
UR - http://www.scopus.com/inward/record.url?scp=58249092618&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=58249092618&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2008.10.002
DO - 10.1016/j.insmatheco.2008.10.002
M3 - Article
AN - SCOPUS:58249092618
VL - 44
SP - 70
EP - 77
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 0167-6687
IS - 1
ER -