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Non-parametric estimation for a pure-jump Lévy process

  • Chunhao Cai (a1), Junyi Guo (a1) and Honglong You (a1)

Abstract

In 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.

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Corresponding author

*Correspondence to: Honglong You, School of Mathematical Sciences, Nankai University, Tianjin 300071, China. Tel: 0086-13212002912. E-mail: youhonglong815@163.com

References

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Non-parametric estimation for a pure-jump Lévy process

  • Chunhao Cai (a1), Junyi Guo (a1) and Honglong You (a1)

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