Non-parametric threshold estimation for classical risk process perturbed by diffusion
Abstract
In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying the times when jumps larger than a suitably defined threshold occurred. We estimate the jump size and survival probability of our risk process from discrete observations.
- Publication:
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arXiv e-prints
- Pub Date:
- June 2016
- DOI:
- 10.48550/arXiv.1606.06459
- arXiv:
- arXiv:1606.06459
- Bibcode:
- 2016arXiv160606459C
- Keywords:
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- Mathematics - Statistics Theory