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A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model.
- Source :
- Mathematics (2227-7390); Sep2024, Vol. 12 Issue 18, p2945, 14p
- Publication Year :
- 2024
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
- Subjects :
- NONPARAMETRIC estimation
SAMPLE size (Statistics)
PROBABILITY theory
DATA modeling
Subjects
Details
- Language :
- English
- ISSN :
- 22277390
- Volume :
- 12
- Issue :
- 18
- Database :
- Complementary Index
- Journal :
- Mathematics (2227-7390)
- Publication Type :
- Academic Journal
- Accession number :
- 180013620
- Full Text :
- https://doi.org/10.3390/math12182945