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ArticleA bootstrap procedure for estimating the adjustment coefficient

Paul Embrechts A1991

Article1991

A bootstrap procedure for estimating the adjustment coefficient

Paul Embrechts A · Thomas Mikosch

26 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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References

1979An introduction to mathematical risk theory 1990Effective actuarial methods 1990Empirical Laplace transform and approximation of compound distributions 1989Estimators and Bootstrap Confidence Intervals for Ruin Probabilities

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2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process

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Year1991

Typearticle

Published1991-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations26

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(91)90048-3

openalex_workW2006822305

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