Abstract
In this paper, we present a nonparametric estimator for ruin probability in the classical risk model with
unknown claim size distribution. We construct the estimator by Fourier inversion and kernel density
estimation method. Under some conditions imposed on the kernel, bandwidth and claim size density,
we present some large sample properties of the estimator. Some simulation studies are also given to
show the finite sample performance of the estimator.
unknown claim size distribution. We construct the estimator by Fourier inversion and kernel density
estimation method. Under some conditions imposed on the kernel, bandwidth and claim size density,
we present some large sample properties of the estimator. Some simulation studies are also given to
show the finite sample performance of the estimator.
| Original language | English |
|---|---|
| Pages (from-to) | 309-338 |
| Journal | Scandinavian Actuarial Journal |
| Volume | 2014 |
| DOIs | |
| Publication status | Published - 2014 |
| Externally published | Yes |