# Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

Serdica Mathematical Journal (2009)

- Volume: 35, Issue: 4, page 359-380
- ISSN: 1310-6600

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topDia, Galaye, and Kone, Abdoulaye. "Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast." Serdica Mathematical Journal 35.4 (2009): 359-380. <http://eudml.org/doc/281529>.

@article{Dia2009,

abstract = {2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.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.},

author = {Dia, Galaye, Kone, Abdoulaye},

journal = {Serdica Mathematical Journal},

keywords = {Point Process; Regressogram; Superposition; Claim Amount; Aggregate Claim Amount; Mean Inter-Arrival Claim Intensity; Mean Intensity of the Claim Process; Ruin Time; regressogram; superposition; claim amount; aggregate claim amount; mean inter-arrival claim intensity; mean intensity; ruin time},

language = {eng},

number = {4},

pages = {359-380},

publisher = {Institute of Mathematics and Informatics Bulgarian Academy of Sciences},

title = {Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast},

url = {http://eudml.org/doc/281529},

volume = {35},

year = {2009},

}

TY - JOUR

AU - Dia, Galaye

AU - Kone, Abdoulaye

TI - Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

JO - Serdica Mathematical Journal

PY - 2009

PB - Institute of Mathematics and Informatics Bulgarian Academy of Sciences

VL - 35

IS - 4

SP - 359

EP - 380

AB - 2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.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.

LA - eng

KW - Point Process; Regressogram; Superposition; Claim Amount; Aggregate Claim Amount; Mean Inter-Arrival Claim Intensity; Mean Intensity of the Claim Process; Ruin Time; regressogram; superposition; claim amount; aggregate claim amount; mean inter-arrival claim intensity; mean intensity; ruin time

UR - http://eudml.org/doc/281529

ER -

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