Non-parametric estimation for a pure-jump Levy process

被引：1

作者：

Cai, Chunhao ^{[1
]}

Guo, Junyi ^{[1
]}

You, Honglong ^{[1
]}

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

ANNALS OF ACTUARIAL SCIENCE | 2018年 / 12卷 / 02期

关键词：

Survival probability; Non-parametric estimation; Laplace transform; Levy process;

D O I：

10.1017/S1748499517000100

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we propose an estimator of the survival probability for a Levy risk model observed at low frequency. The estimator is constructed via a regularised version of the inverse of the Laplace transform. The convergence rate of the estimator in a sense of the integrated squared error is studied for large sample size. Simulation studies are also given to show the finite sample performance of our estimator.

引用

页码：338 / 349

页数：12

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