A new aspect of a risk process and its statistical inference

研究成果: Article査読

18 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)70-77
ページ数8
ジャーナルInsurance: Mathematics and Economics
44
1
DOI
出版ステータスPublished - 2009 2
外部発表はい

ASJC Scopus subject areas

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

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