Scholarlink

This chapter shows how optional processes work in the area of regression analysis and risk theory. We introduce an optional regression model and study the LS-estimates and sequential least-squares (LS)-estimates in this framework. We derive a very general estimate of the ruin probability for an insurer company when its capital is formally on the base of an optional semimartingale. We show how these general results work for several classical models of regression analysis and risk theory (see Abdelghani et al., Stat: A J Theor Appl Stat 55(2):445–457, 2021; Asmussen and Albrecher, Ruin probabilities, 2010; Shahrokhabadi et al., Risks 13(61):1–27, 2025; and Sorensen, ASTIN Bull 26(1):15–23, 1996).

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Optional Semimartingales for Stochastic Regression Analysis and Risk Theory

  • 章节

  • 发表日期：

    2026年

查看全文
  • Alexander Melnikov

摘要

This chapter shows how optional processes work in the area of regression analysis and risk theory. We introduce an optional regression model and study the LS-estimates and sequential least-squares (LS)-estimates in this framework. We derive a very general estimate of the ruin probability for an insurer company when its capital is formally on the base of an optional semimartingale. We show how these general results work for several classical models of regression analysis and risk theory (see Abdelghani et al., Stat: A J Theor Appl Stat 55(2):445–457, 2021; Asmussen and Albrecher, Ruin probabilities, 2010; Shahrokhabadi et al., Risks 13(61):1–27, 2025; and Sorensen, ASTIN Bull 26(1):15–23, 1996).