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

Dia, GalayeKone, Abdoulaye — 2009

Serdica Mathematical Journal

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)...

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