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Ruin theory in the linear model
Authors:Hans U Gerber
Institution:Ecole des Hautes Etudes Commerciales, Université de Lausanne, Switzerland
Abstract:The probability of ruin is examined in a model where the annual gains of an insurance company are dependent random variables. The model used is the linear model (well known in time-series analysis) which includes the autoregressive model and the moving average model as special cases. It is also shown that a certain credibility model can be interpreted as a first-order model of the mixed type.
Keywords:Ruin  Linear model  Credibility  Adjustment coefficient
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