On a nonparametric estimator for the finite time survival probability with zero initial surplus

DOI10.1007/s10255-016-0601-xzbMath1360.91096OpenAlexW2515705809MaRDI QIDQ517213

Hu Yang, Hailiang Yang, Zhimin Zhang

Publication date: 23 March 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/245304

zbMATH Keywords

Fourier transformasymptotic normalityvariancebiaskernelfinite time survival probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (1)

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

Uses Software

• KernSmooth

Cites Work

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• On the time to ruin for Erlang(2) risk processes.
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• On the Density and Moments of the Time of Ruin with Exponential Claims
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

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