Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method
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This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method. Then, we construct a nonparametric estimator of the ruin probability and analyze its convergence. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.
2013 ◽
Vol 2013
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pp. 1-9
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2013 ◽
Vol 2013
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pp. 1-8
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2018 ◽
Vol 48
(5)
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pp. 1284-1304
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2003 ◽
Vol 17
(2)
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pp. 199-203
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Keyword(s):
2006 ◽
Vol 20
(3)
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pp. 529-542
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