Non-parametric threshold estimation for classical risk process perturbed by diffusion. (arXiv:1606.06459v1 [math.ST])4d
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由 Chunhao Cai, Junyi Guo, Honglong You[url=][/url] 通过 Statistics authors/titles recent submissions[url=][/url]




In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying the times when jumps larger than a suitably defined threshold occurred. We estimate the jump size and survival probability of our risk process from discrete observations.