【摘要】 本文考虑对具有扩散扰动影响的复合泊松风险模型下的破产概率进行非参数估计.我们基于复傅里叶级数展开方法 (CFS)对破产概率进行逼近,并利用索赔次数和索赔额的随机样本值对破产概率进行非参数估计.同时我们还对估计量在大样本下进行了误差分析,提供了模拟结果,验证了在样本量有限下这种估计方法的有效性.更多还原

【Abstract】 In this paper, we consider the nonparametric estimation of the ruin probability in a compound Poisson risk model perturbed by diffusion. We approximate the ruin probability based on the complex Fourier series expansion(CFS) method, and use a random sample on claim number and individual claim sizes to construct a nonparametric estimator of the ruin probability. We also perform an error analysis of the estimator under a large sample size, and provide simulation results to verify the effectiveness of this estimation method under a finite sample size.更多还原