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Article: Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

TitleNonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
Authors
Zhang, ZMYang, H
KeywordsEstimator
Fourier transform
Low-frequency
Lévy risk model
Ruin probability
Issue Date2014
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics and Economics, 2014, v. 59, p. 168-177 How to Cite?
DOI: http://dx.doi.org/10.1016/j.insmatheco.2014.09.006
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/214575
ISSN
0167-6687
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID
WOS:000347501100016

 

DC FieldValueLanguage
dc.contributor.authorZhang, ZM-
dc.contributor.authorYang, H-
dc.date.accessioned2015-08-21T11:38:47Z-
dc.date.available2015-08-21T11:38:47Z-
dc.date.issued2014-
dc.identifier.citationInsurance: Mathematics and Economics, 2014, v. 59, p. 168-177-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/214575-
dc.description.abstractIn 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.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectEstimator-
dc.subjectFourier transform-
dc.subjectLow-frequency-
dc.subjectLévy risk model-
dc.subjectRuin probability-
dc.titleNonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.insmatheco.2014.09.006-
dc.identifier.scopuseid_2-s2.0-84908405756-
dc.identifier.hkuros248433-
dc.identifier.volume59-
dc.identifier.spage168-
dc.identifier.epage177-
dc.identifier.isiWOS:000347501100016-
dc.publisher.placeNetherlands-
dc.identifier.issnl0167-6687-

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