On a Nonparametric Estimator for the Finite Time Survival Probability with Zero Initial Surplus

Zhimin Zhang, Hailiang Yang, Hu Yang

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we consider the estimation of the finite time survival probability in the classical risk
model when the initial surplus is zero. We construct a nonparametric estimator by Fourier inversion and kernel
density estimation method. Under some mild assumptions imposed on the kernel, bandwidth and claim size
density, we derive the order of the bias and variance, and show that the estimator has asymptotic normality
property. Some simulation studies show that the estimator performs quite well in the finite sample setting.
Original languageEnglish
Pages (from-to)739-754
JournalActa Mathematicae Applicatae Sinica
Volume32
Issue number3
DOIs
Publication statusPublished - 2016
Externally publishedYes

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