The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered <i>α</i>-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 <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>α</m...
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| Main Authors: | , |
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| Format: | article |
| Language: | EN |
| Published: |
MDPI AG
2021
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| Subjects: | |
| Online Access: | https://doaj.org/article/95a83d3ea8b54a17a1752e49dfc6878a |
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