Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8901687 | Journal of Computational and Applied Mathematics | 2019 | 10 Pages |
Abstract
In this paper, we consider the nonparametric estimation of the survival probability for a spectrally negative Lévy risk model based on high frequency data. We use a regularized Laplace inversion technique to obtain the estimator of survival probability. A rate of convergence in probability for the integrated squared error (ISE) is derived. Simulation studies are also given to show the finite sample performance of our estimator.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Honglong You, Chunhao Cai,