This paper presents an asymptotic expansion of the ultimate ruin probability under Levy insurance risks as the loading factor tends to zero. The expansion formula is obtained via the Edgeworth type expansion for the compound geometric sum. We give higher-order expansion of the ruin probability,...

The paper deals with parametric inference for discretely observed diffusion processes which may neither be ergodic nor even recurrent. We propose a class of contrast functions, which includes least squares, or local-Gauss type contrast functions. We present a family of conditions for consistency...

A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator for any of its partial sums by computing the...