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The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered α-Stable Lévy Subordinator
In this paper, a nonparametric estimator of ruin probability is introduced in a spectrally negative Lévy process where the jump component is a tempered α-stable subordinator. Given a discrete record of high-frequency data, a threshold technique is proposed to estimate the mean of the jump size and use the Fourier …