A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model

Abstract

In this paper, we propose a nonparametric estimator of ruin probability in the Wiener–Poisson risk model based on high-frequency data. The estimator is constructed via the Fourier-cosine method and the threshold technique, and the convergence rate is also studied for a large sample size. Finally, we verify the effectiveness of our estimator through some simulation studies.

Keywords

• Wiener–Poisson risk model
• ruin probability
• nonparametric estimation
• Fourier-cosine method
• high-frequency data