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Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples
Shimizu, Yasutaka; Zhang, Zhimin - In: Risks 7 (2019) 2, pp. 1-22
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...
Persistent link: https://www.econbiz.de/10013200455
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M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps
Shimizu, Yasutaka - In: Statistical Inference for Stochastic Processes 9 (2006) 2, pp. 179-225
Persistent link: https://www.econbiz.de/10005391495
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Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations
Shimizu, Yasutaka; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 9 (2006) 3, pp. 227-277
Persistent link: https://www.econbiz.de/10005615999
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Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples
Shimizu, Yasutaka; Zhang, Zhimin - In: Risks : open access journal 7 (2019) 2/37, pp. 1-22
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...
Persistent link: https://www.econbiz.de/10012019305