Abstract
In this paper, we propose a nonparametric estimator for the ruin probability in a spectrally negative Lévy risk model based on low-frequency observation. The estimator is constructed via the Fourier transform of the ruin probability. The convergence rates of the estimator are studied for large sample size. Some
simulation results are also given to show the performance of the proposed method when the sample size is finite.
simulation results are also given to show the performance of the proposed method when the sample size is finite.
Original language | English |
---|---|
Pages (from-to) | 168-177 |
Journal | Insurance: Mathematics and Economics |
Volume | 59 |
DOIs | |
Publication status | Published - 2014 |
Externally published | Yes |
Fingerprint
Dive into the research topics of 'Nonparametric estimation for ruin probability in a Levy risk model under low-frequency observation'. Together they form a unique fingerprint.Cite this
Zhang, Z., & Yang, H. (2014). Nonparametric estimation for ruin probability in a Levy risk model under low-frequency observation. Insurance: Mathematics and Economics, 59, 168-177. https://doi.org/10.1016/j.insmatheco.2014.09.006