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Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method

Author

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  • Yujuan Huang

    (School of Science, Shandong Jiaotong University, Jinan 250357, China)

  • Jing Li

    (Department of Statistics and Actuarial Science, Chongqing University, Chongqing 401331, China)

  • Hengyu Liu

    (Thurgood Marshall College, University of San Diego, San Diego, CA 92092, USA)

  • Wenguang Yu

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

Abstract

This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method. Then, we construct a nonparametric estimator of the ruin probability and analyze its convergence. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

Suggested Citation

  • Yujuan Huang & Jing Li & Hengyu Liu & Wenguang Yu, 2021. "Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method," Mathematics, MDPI, vol. 9(9), pages 1-17, April.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:9:p:982-:d:544649
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    References listed on IDEAS

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    4. Li, Jinzhu, 2017. "A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 49-55.
    5. Wen Su & Wenguang Yu, 2020. "Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model," Mathematics, MDPI, vol. 8(10), pages 1-11, September.
    6. Mitric, Ilie-Radu & Badescu, Andrei L. & Stanford, David A., 2012. "On the absolute ruin problem in a Sparre Andersen risk model with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 167-178.
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    Cited by:

    1. Chunwei Wang & Naidan Deng & Silian Shen, 2022. "Numerical Method for a Perturbed Risk Model with Proportional Investment," Mathematics, MDPI, vol. 11(1), pages 1-27, December.

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