A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model

Chongkai Xie and Honglong You ()
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Chongkai Xie: School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China
Honglong You: School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China

Mathematics, 2024, vol. 12, issue 18, 1-14

Abstract: In this paper, we propose a nonparametric estimator of ruin probability in the Wiener–Poisson risk model based on high-frequency data. The estimator is constructed via the Fourier-cosine method and the threshold technique, and the convergence rate is also studied for a large sample size. Finally, we verify the effectiveness of our estimator through some simulation studies.

Keywords: Wiener–Poisson risk model; ruin probability; nonparametric estimation; Fourier-cosine method; high-frequency data (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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