On a nonparametric estimator for ruin probability in the classical risk model

Zhimin Zhang, Hailiang Yang and Hu Yang

Scandinavian Actuarial Journal, 2014, vol. 2014, issue 4, 309-338

Abstract: In this paper, we present a nonparametric estimator for ruin probability in the classical risk model with unknown claim size distribution. We construct the estimator by Fourier inversion and kernel density estimation method. Under some conditions imposed on the kernel, bandwidth and claim size density, we present some large sample properties of the estimator. Some simulation studies are also given to show the finite sample performance of the estimator.

Date: 2014
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DOI: 10.1080/03461238.2012.691427

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