Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method

Yujuan Huang, Jing Li, Hengyu Liu and Wenguang Yu
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Yujuan Huang: School of Science, Shandong Jiaotong University, Jinan 250357, China
Jing Li: Department of Statistics and Actuarial Science, Chongqing University, Chongqing 401331, China
Hengyu Liu: Thurgood Marshall College, University of San Diego, San Diego, CA 92092, USA
Wenguang Yu: School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China

Mathematics, 2021, vol. 9, issue 9, 1-17

Abstract: This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method. Then, we construct a nonparametric estimator of the ruin probability and analyze its convergence. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

Keywords: compound Poisson insurance risk model; stochastic processes; ruin probability; nonparametric estimation; complex Fourier series expansion (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: View citations in EconPapers (1)

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