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Title: Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast
Authors: Dia, Galaye
Kone, Abdoulaye
Keywords: Point Process
Claim Amount
Aggregate Claim Amount
Mean Inter-Arrival Claim Intensity
Mean Intensity of the Claim Process
Ruin Time
Issue Date: 2009
Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation: Serdica Mathematical Journal, Vol. 35, No 4, (2009), 359p-380p
Abstract: We estimate a regression function on a point process by the Tukey regressogram method in a general setting and we give an application in the case of a Risk Process. We show among other things that, in classical Poisson model with parameter r, if W is the amount of the claim with finite espectation E(W) = m, Sn (resp. Rn) the accumulated interval waiting time for successive claims (resp. the aggregate claims amount) up to the nth arrival, the regression curve of R on S predicts ruin arrival time when the premium intensity c is less than rm whatever be the initial reverve.
Description: 2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.
ISSN: 1310-6600
Appears in Collections:Volume 35, Number 4

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