Post by Sapphire Capital on Jul 21, 2008 22:37:42 GMT 4
Estimation of Adjustment Coefficients for Discretely Observed
Risk Processes Perturbed by Diffusions
YASUTAKA SHIMIZU
Osaka University - School of Engineering Science
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May 1, 2008
Dept. Math. Sci., Osaka University, Research Report Series 08-05
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 is 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 can not directly observe each jump size because of discrete observations. Our goal is to estimate the adjustment coefficient of our risk process from discrete observations
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1162530_code1024659.pdf?abstractid=1134650&mirid=1
Risk Processes Perturbed by Diffusions
YASUTAKA SHIMIZU
Osaka University - School of Engineering Science
--------------------------------------------------------------------------------
May 1, 2008
Dept. Math. Sci., Osaka University, Research Report Series 08-05
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 is 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 can not directly observe each jump size because of discrete observations. Our goal is to estimate the adjustment coefficient of our risk process from discrete observations
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1162530_code1024659.pdf?abstractid=1134650&mirid=1