Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model

Honglong You and Yuan Gao
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Honglong You: School of Statistics, Qufu Normal University, Qufu 273165, China
Yuan Gao: School of Mathematics, Qufu Normal University, Qufu 273165, China

Mathematics, 2019, vol. 7, issue 6, 1-11

Abstract: In this paper, we consider the Wiener–Poisson risk model, which consists of a Wiener process and a compound Poisson process. Given the discrete record of observations, we use a threshold method and a regularized Laplace inversion technique to estimate the survival probability. In addition, we also construct an estimator for the distribution function of jump size and study its consistency and asymptotic normality. Finally, we give some simulations to verify our results.

Keywords: Wiener–Poisson risk model; survival probability; Nonparametric threshold estimation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
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