Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

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 sample size. Some simulation results are also given to show the performance of the proposed method when the sample size is finite.