Zhang, Zhimin; Yang, Hailiang - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 168-177
In this paper, we propose a nonparametric estimator for the ruin probability in a spectrally negative Lévy risk model based on low-frequency observation. The estimator is constructed via the Fourier transform of the ruin probability. The convergence rates of the estimator are studied for large...