Abstract
Following Müller and Pflug (Insur Math Econ 28:381–392, 2001) and Nyrhinen (Adv Appl Probab 30:1008–1026, 1998; J Appl Probab 36:733–746, 1999), we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator for this coefficient, and perform some simulations.
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