A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model

A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model

In this paper, we propose a nonparametric estimator of ruin probability in the Wiener–Poisson risk model based on high-frequency data. The estimator is constructed via the Fourier-cosine method and the threshold technique, and the convergence rate is also studied for a large sample size. Finally, we...

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Veröffentlicht in:Mathematics (Basel) 2024-09, Vol.12 (18), p.2945
Hauptverfasser: Xie, Chongkai, You, Honglong
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Combinatorial probabilities
Fourier transforms
Fourier-cosine method
Geometric probabilities
High frequency trading
high-frequency data
Mathematical functions
Mathematical research
nonparametric estimation
Parameter estimation
Probabilities
Random variables
Risk management
ruin probability
Statistical inference
Trigonometrical functions
Wiener–Poisson risk model
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Beschreibung
Zusammenfassung:In this paper, we propose a nonparametric estimator of ruin probability in the Wiener–Poisson risk model based on high-frequency data. The estimator is constructed via the Fourier-cosine method and the threshold technique, and the convergence rate is also studied for a large sample size. Finally, we verify the effectiveness of our estimator through some simulation studies.
ISSN:2227-7390
2227-7390
DOI:10.3390/math12182945