Non-parametric threshold estimation for classical risk process perturbed by diffusion
Statistics Theory
2016-06-22 v1 Statistics Theory
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.
Keywords
Cite
@article{arxiv.1606.06459,
title = {Non-parametric threshold estimation for classical risk process perturbed by diffusion},
author = {Chunhao Cai and Junyi Guo and Honglong You},
journal= {arXiv preprint arXiv:1606.06459},
year = {2016}
}