Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
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Cites work
- scientific article; zbMATH DE number 3256930 (Why is no real title available?)
- A new aspect of a risk process and its statistical inference
- Adaptive nonparametric estimation for Lévy processes observed at low frequency
- Estimation for Lévy processes from high frequency data within a long time interval
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- Nonparametric adaptive estimation for pure jump Lévy processes
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Nonparametric estimation for Lévy processes from low-frequency observations
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Nonparametric estimation of compound distributions with applications in insurance
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Nonparametric estimators for the probability of ruin
- Nonparametric inference for discretely sampled Lévy processes
- On a nonparametric estimator for ruin probability in the classical risk model
- On semiparametric estimation of ruin probabilities in the classical risk model
- On the optimal rates of convergence for nonparametric deconvolution problems
- Ruin probabilities
- Ruin probabilities and decompositions for general perturbed risk processes.
- Semiparametric Estimation for Non-Ruin Probabilities
Cited in
(27)- Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Threshold estimation for a spectrally negative Lévy process
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Nonparametric estimation of the finite time ruin probability in the classical risk model
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- Approximating the density of the time to ruin via Fourier-cosine series expansion
- Statistical estimation for some dividend problems under the compound Poisson risk model
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- Functional sensitivity analysis of ruin probability in the classical risk models
- Risk bounds for the non-parametric estimation of Lévy processes
- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
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