Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
DOI10.1016/J.CAM.2018.06.023zbMATH Open1402.62262OpenAlexW2811162302MaRDI QIDQ1789705FDOQ1789705
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
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Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Ruin probabilities
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- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
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- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Nonparametric estimators for the probability of ruin
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
- Regularized inversion of noisy Laplace transforms
- On a nonparametric estimator for ruin probability in the classical risk model
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- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
- ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- 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 of some dividend problems in the perturbed compound Poisson model
- Nonparametric estimation for Lévy processes from low-frequency observations
- 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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