Nonparametric estimation for a spectrally negative Lévy process based on high frequency data

DOI10.1016/J.CAM.2018.06.023MaRDI QIDQ1789705zbMATH OpenOpenAlexFDO

Authors Honglong You, Chunhao Cai

Publication date 10 October 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2018.06.023

zbMATH Keywords

Laplace transformnonparametric estimationsurvival probabilityspectrally negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
• Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
• Nonparametric estimation of compound distributions with applications in insurance
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Nonparametric estimators for the probability of ruin
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• On a nonparametric estimator for ruin probability in the classical risk model
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Regularized inversion of noisy Laplace transforms
• Ruin probabilities
• Ruin probabilities and decompositions for general perturbed risk processes.
• Semiparametric Estimation for Non-Ruin Probabilities

Cited in

(9)

• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• Estimating the time value of ruin in a Lévy risk model under low-frequency observation
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
• Statistical estimation for some dividend problems under the compound Poisson risk model
• Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
• Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
• Threshold estimation for a spectrally negative Lévy process
• Nonparametric estimation of time-changed Lévy models under high-frequency data

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