Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
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Publication:2406315
DOI10.1016/j.cam.2017.05.049zbMath1391.62193OpenAlexW2745542791MaRDI QIDQ2406315
Honglong You, Nan Chen, Chunhao Cai
Publication date: 27 September 2017
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.2017.05.049
Laplace transformsurvival probabilitynonparametric estimationrisk modelspectrally negative Lévy processregularized Laplace inversion transform
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Related Items (6)
Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ 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 a spectrally negative Lévy process based on high frequency data
Cites Work
- Nonparametric estimators for the probability of ruin
- On the expected discounted penalty function for a perturbed risk process driven by a subordinator
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Regularized inversion of noisy Laplace transforms
- Nonparametric estimation of compound distributions with applications in insurance
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Semiparametric Estimation for Non-Ruin Probabilities
- Estimation of Dependences Based on Empirical Data
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