Nonparametric estimation of the finite time ruin probability in the classical risk model

DOI10.1080/03461238.2016.1174876zbMath1401.91215OpenAlexW2342794774MaRDI QIDQ4575476

Zhimin Zhang

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2016.1174876

zbMATH Keywords

estimationasymptotic propertyfinite time ruin probabilitydouble Fourier transform

Mathematics Subject Classification ID

Related Items (9)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

Cites Work

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