| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20130026916 |
| 003 | | | MAP |
| 005 | | | 20220911212138.0 |
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| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | 1 | | $0MAPA20080649913$aZhang, Zhimin |
| 245 | 1 | 0 | $aNonparametric estimate of the ruin probability in a pure-jump Lévy risk model$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 |
| 773 | 0 | | $wMAP20077100574$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 |
