Estimating the time value of ruin in a Lévy risk model under low-frequency observation-Reference-Cited by-同舟云学术

Estimating the time value of ruin in a Lévy risk model under low-frequency observation

Published:2022-05 Issue: Volume:104 Page:133-157
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Wang Wenyuan,Xie Jiayi,Zhang Zhimin^ORCID

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference21 articles.

1. Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation;Cai;Journal of Computational and Applied Mathematics,2018

2. Nonparametric estimation for a spectrally negative Lévy process based on high frequency data;Cai;Journal of Computational and Applied Mathematics,2019

3. Fourier-cosine method for Gerber-Shiu function;Chau;Insurance. Mathematics & Economics,2015

4. Fourier-cosine method for ruin probabilities;Chau;Journal of Computational and Applied Mathematics,2015

5. Nonparametric estimation for pure jump Lévy processes based on high frequency data;Comte;Stoathastic Processes and their Applications,2009

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