Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model

DOI10.1080/03610926.2020.1831542MaRDI QIDQ5093696zbMATH OpenOpenAlexFDO

Authors

Publication date 1 August 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1831542

zbMATH Keywords

complex Fourier series expansioncompound Poisson modelestimatorruin probability

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A solution to the ruin problem for Pareto distributions.
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
• Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
• Nonparametric estimation of ruin probabilities given a random sample of claims
• On a nonparametric estimator for ruin probability in the classical risk model
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• On semiparametric estimation of ruin probabilities in the classical risk model
• Valuing equity-linked death benefits in general exponential Lévy models

Cited in

(1)

• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model

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