Asymptotically normal estimators of the ruin probability for lévy insurance surplus from discrete samples

Yasutaka Shimizu*, Zhimin Zhang

*この研究の対応する著者

研究成果: Article査読

4 被引用数 (Scopus)

抄録

A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator for any of its partial sums by computing the coefficients of the expansion. We show that the proposed estimator is asymptotically normal and consistent with the optimal rate of convergence and estimable asymptotic variance. This estimator enables not only a point estimation of ruin probability but also an approximated interval estimation and testing hypothesis.

本文言語English
論文番号37
ジャーナルRisks
7
2
DOI
出版ステータスPublished - 2019 6

ASJC Scopus subject areas

  • 会計
  • 経済学、計量経済学および金融学(その他)
  • 戦略と経営

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