Non-parametric estimation for a pure-jump Lévy process

Chunhao Cai, Junyi Guo and Honglong You

Annals of Actuarial Science, 2018, vol. 12, issue 2, 338-349

Abstract: In this paper, we propose an estimator of the survival probability for a Lévy risk model observed at low frequency. The estimator is constructed via a regularised version of the inverse of the Laplace transform. The convergence rate of the estimator in a sense of the integrated squared error is studied for large sample size. Simulation studies are also given to show the finite sample performance of our estimator.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:12:y:2018:i:02:p:338-349_00

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