Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model

DOI10.1016/j.insmatheco.2013.04.004zbMath1284.62245MaRDI QIDQ2445988

Zhimin Zhang, Hailiang Yang

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/198099

zbMATH Keywords

ruin probability; risk bound; cut-off selection; Fourier (inversion) transform

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

Related Items

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION, Nonparametric estimation of the finite time ruin probability in the classical risk model, Estimating the Gerber–Shiu function by Fourier–Sinc series expansion, A new efficient method for estimating the Gerber–Shiu function in the classical risk model, Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions, Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion, Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model, Functional sensitivity analysis of ruin probability in the classical risk models, Parametric inference for ruin probability in the classical risk model, Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion, Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion, Nonparametric estimation for a spectrally negative Lévy process based on high frequency data, Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion, A Fourier-cosine method for finite-time ruin probabilities, Estimating the time value of ruin in a Lévy risk model under low-frequency observation, Threshold estimation for a spectrally negative Lévy process, Statistical estimation for some dividend problems under the compound Poisson risk model, Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model, Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income, Fourier-cosine method for Gerber-Shiu functions, Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus, Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

Cites Work

• Unnamed Item
• Unnamed Item
• Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
• Nonparametric estimators for the probability of ruin
• A new aspect of a risk process and its statistical inference
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Nonparametric estimation of compound distributions with applications in insurance
• About the constants in Talagrand's concentration inequalities for empirical processes.
• Ruin probabilities and decompositions for general perturbed risk processes.
• Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
• Penalized contrast estimator for adaptive density deconvolution
• On semiparametric estimation of ruin probabilities in the classical risk model
• On a nonparametric estimator for ruin probability in the classical risk model
• Semiparametric Estimation for Non-Ruin Probabilities