【精算论坛讲座（二十五）】张志民：Nonparametric estimate of the ruin probability in a class of Levy risk models发布日期：2019-09-12 21:07:41
演讲题目：Nonparametric estimate of the ruin probability in a class of Levy risk models
演讲人：张志民 博士 （重庆大学统计与精算学系）
In ruin theory, a lot of approaches have been used to analyze ruin probability in various risk models. However, in practical situations, instead of knowing the specific model one can only obtain the data on the surplus. This motivates us to study the ruin problems by statistical methodology. In this talk, we propose a nonparametric estimator of the ruin probability in a pure-jump Levy risk model. Assume that high-frequency observed data on the aggregate claims process is available. The estimator is based on Pollaczeck-Khinchine formula and Fourier transform. Risk bounds as well as a data-driven cut-off selection methodology are presented. Simulation studies are also given to show the finite sample performance of our estimator.