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

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 an...

Full description

Saved in:
Bibliographic Details
Published inMathematics (Basel) Vol. 9; no. 9; p. 982
Main Authors Huang, Yujuan, Li, Jing, Liu, Hengyu, Yu, Wenguang
Format Journal Article
LanguageEnglish
Published Basel MDPI AG 01.05.2021
Subjects
Approximation
complex Fourier series expansion
compound Poisson insurance risk model
Fourier series
Income
Insurance
Insurance companies
Mathematical functions
Mathematics
nonparametric estimation
Nonparametric statistics
Probability theory
Random variables
ruin probability
Statistical methods
stochastic processes
Online AccessGet full text

Cover

More Information
Summary: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.
ISSN:2227-7390
2227-7390
DOI:10.3390/math9090982