Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model

被引：4

作者：

Li, Jing ^{[1
]}

Yu, Wenguang ^{[2
]}

Liu, Chaolin ^{[1
,3
]}

机构：

[1] Chongqing Univ, Dept Stat & Actuarial Sci, Chongqing, Peoples R China

[2] Shandong Univ Finance & Econ, Sch Insurance, Jinan, Shandong, Peoples R China

[3] Chongqing Univ, Prov Demonstrat Ctr Expt Math Educ, Chongqing, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2022年 / 51卷 / 15期

基金：

中国国家自然科学基金;

关键词：

Ruin probability; compound Poisson model; estimator; complex Fourier series expansion;

D O I：

10.1080/03610926.2020.1831542

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider the estimation of ruin probability in the classical compound Poisson model. We first show that the ruin probability can be expressed by the complex Fourier series expansion. Then using a random sample on claim number and individual claim sizes we construct a nonparametric estimator of the ruin probability. Error analysis of the new estimator is made when the sample size is large, and simulation results are also provided to show the efficiency of our method when the sample size is finite.

引用

页码：5048 / 5063

页数：16

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