Adjustment coefficient for risk processes in some dependent contexts
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🧮 math.ST
math.PRstat.APstat.TH
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coefficientadjustmentsomearticleconsistentcontextcontextsdependency
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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.
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