Nonparametric estimation for a spectrally negative Lévy process based on high frequency data

DOI10.1016/j.cam.2018.06.023zbMath1402.62262OpenAlexW2811162302MaRDI QIDQ1789705

Chunhao Cai, Honglong You

Publication date: 10 October 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.06.023

zbMATH Keywords

Laplace transformsurvival probabilitynonparametric estimationspectrally negative Lévy process

Mathematics Subject Classification ID

Related Items (5)

Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ Nonparametric estimation of some dividend problems in the perturbed compound Poisson model ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model

Cites Work

• Unnamed Item
• Nonparametric estimators for the probability of ruin
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Regularized inversion of noisy Laplace transforms
• Nonparametric estimation of compound distributions with applications in insurance
• Ruin probabilities and decompositions for general perturbed risk processes.
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
• Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
• Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
• On a nonparametric estimator for ruin probability in the classical risk model
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• Semiparametric Estimation for Non-Ruin Probabilities

This page was built for publication: Nonparametric estimation for a spectrally negative Lévy process based on high frequency data