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Non-parametric estimation for a pure-jump Lévy process

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  • Cai, Chunhao
  • Guo, Junyi
  • You, Honglong

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.

Suggested Citation

  • Cai, Chunhao & Guo, Junyi & You, Honglong, 2018. "Non-parametric estimation for a pure-jump Lévy process," Annals of Actuarial Science, Cambridge University Press, vol. 12(2), pages 338-349, September.
    • Handle: RePEc:cup:anacsi:v:12:y:2018:i:02:p:338-349_00
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    Cited by:

    1. Jorge González Cázares & Aleksandar Mijatović, 2022. "Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation," Finance and Stochastics, Springer, vol. 26(4), pages 671-732, October.

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