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

Zhimin Zhang and Hailiang Yang

Insurance: Mathematics and Economics, 2013, vol. 53, issue 1, 24-35

Abstract: 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 Pollaczek–Khinchin 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.

Keywords: Fourier (inversion) transform; Risk bound; Cut-off selection; Ruin probability (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:1:p:24-35

DOI: 10.1016/j.insmatheco.2013.04.004

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