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

DOI10.1016/j.insmatheco.2013.04.004zbMath1284.62245OpenAlexW2057399809MaRDI 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 probabilityrisk boundcut-off selectionFourier (inversion) transform

Mathematics Subject Classification ID

Related Items (23)

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

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

This page was built for publication: Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model