Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

Institution:	1. College of Mathematics and Statistics, Chongqing University, Chongqing, 401331, PR China;2. Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam road, Hong Kong;1. School of Sciences, Hebei University of Technology, Tianjin 300401, PR China;2. Department of Mathematics, University of Michigan, Ann Arbor, MI 48109, USA;1. Department of Mathematics, The University of Hong Kong, Pokfulam, Hong Kong;2. Department of Statistics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong;3. Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong;1. University of Massachusetts, Dartmouth, MA 02747, USA;2. The Israel Electric Corporation, PO Box 10, Haifa 31000, Israel

Abstract:	In this paper, we propose a nonparametric estimator for the ruin probability in a spectrally negative Lévy risk model based on low-frequency observation. The estimator is constructed via the Fourier transform of the ruin probability. The convergence rates of the estimator are studied for large sample size. Some simulation results are also given to show the performance of the proposed method when the sample size is finite.

Keywords:	Lévy risk model Ruin probability Estimator Fourier transform Low-frequency
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