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

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<dc:creator>Zhang, Zhimin</dc:creator>
<dc:date>2013-07-01</dc:date>
<dc:description xml:lang="es">Sumario: 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 estimator.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/143857.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Data driven</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/07/2013 Volumen 53 Número 1 - julio 2013 </dc:relation>
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