The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered ? -Stable Lévy Subordinator

Yuan Gao and Honglong You
Additional contact information
Yuan Gao: School of Mathematical Sciences, Qufu Normal University, Jining 273165, China
Honglong You: School of Statistics, Qufu Normal University, Jining 273165, China

Mathematics, 2021, vol. 9, issue 21, 1-9

Abstract: In this paper, a nonparametric estimator of ruin probability is introduced in a spectrally negative Lévy process where the jump component is a tempered ? -stable subordinator. Given a discrete record of high-frequency data, a threshold technique is proposed to estimate the mean of the jump size and use the Fourier transform and the Pollaczek–Khinchin formula to construct the estimator of ruin probability. The convergence rate of the integrated squared error for the estimator is studied.

Keywords: ruin probability; spectrally negative Lévy process; Fourier transform; high-frequency data (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/9/21/2654/pdf (application/pdf)
https://www.mdpi.com/2227-7390/9/21/2654/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:9:y:2021:i:21:p:2654-:d:660804

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().