Estimating the time value of ruin in a Lévy risk model under low-frequency observation

Wenyuan Wang, Jiayi Xie and Zhimin Zhang

Insurance: Mathematics and Economics, 2022, vol. 104, issue C, 133-157

Abstract: In this paper, we consider statistical estimation of the time value of ruin in a Lévy risk model. Suppose that the aggregate claims process of an insurance company is modeled by a pure jump Lévy subordinator, and we can observe the data set on the aggregate claims based on low-frequency sampling. The time value of ruin is estimated by the Fourier-cosine method, and the uniform convergence rate is also derived. Through a lot of simulation studies, we show that our estimators are very effective when the sample size is finite.

Keywords: Lévy risk model; Time value of ruin; Estimator; Low-frequency observation (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:104:y:2022:i:c:p:133-157

DOI: 10.1016/j.insmatheco.2022.02.006

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