Búsqueda

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

Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20130026916
003  MAP
005  20220911212138.0
008  130905e20130701esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20080649913‎$a‎Zhang, Zhimin
24510‎$a‎Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model‎$c‎Zhimin Zhang, Hailiang Yang
520  ‎$a‎In this paper, we propose a nonparametric estimator of ruin probability in a Lévy risk model. The aggregate claims process X={Xt,=0} is modeled by a pure-jump Lévy process. Assume that high-frequency observed data on X are available. The estimator is constructed based on the PollaczekKhinchin formula and Fourier transform. Risk bounds as well as a data-driven cut-off selection methodology are presented. Simulation studies are also given to show the finite sample performance of our estimator.
650  ‎$0‎MAPA20220007825‎$a‎Data driven
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/07/2013 Volumen 53 Número 1 - julio 2013
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A