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Non-parametric estimation for a pure-jump Lévy process
Published online by Cambridge University Press: 10 May 2017
Abstract
In this paper, we propose an estimator of the survival probability for a Lévy risk model observed at low frequency. The estimator is constructed via a regularised version of the inverse of the Laplace transform. The convergence rate of the estimator in a sense of the integrated squared error is studied for large sample size. Simulation studies are also given to show the finite sample performance of our estimator.
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- © Institute and Faculty of Actuaries 2017
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