Author:
Cai Chunhao,Guo Junyi,You Honglong
Abstract
AbstractIn this paper, we propose an estimator of the survival probability for a Lévy risk model observed at low frequency. The estimator is constructed via a regularised version of the inverse of the Laplace transform. The convergence rate of the estimator in a sense of the integrated squared error is studied for large sample size. Simulation studies are also given to show the finite sample performance of our estimator.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
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