Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
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Publication:2514616
DOI10.1016/J.INSMATHECO.2014.09.006zbMATH Open1306.91088OpenAlexW2119547269MaRDI QIDQ2514616FDOQ2514616
Authors: Zhimin Zhang, Hailiang Yang 
Publication date: 3 February 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/214575
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Cited In (25)
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- 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
- Functional sensitivity analysis of ruin probability in the classical risk models
- 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
- A new efficient method for estimating the Gerber–Shiu function in the classical risk model
- Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
- Statistical estimation for some dividend problems under the compound Poisson risk model
- Risk bounds for the non-parametric estimation of Lévy processes
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Threshold estimation for a spectrally negative Lévy process
- Title not available (Why is that?)
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates
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