MAP20130026916Zhang, ZhiminNonparametric estimate of the ruin probability in a pure-jump Lévy risk model / Zhimin Zhang, Hailiang YangSumario: In 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 estimatorEn: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/07/2013 Volumen 53 Número 1 - julio 2013 1. Data driven. I. Title.
