Nonparametric estimation for a spectrally negative Levy process based on high frequency data

摘要

In this paper, we consider the nonparametric estimation of the survival probability for a spectrally negative Levy risk model based on high frequency data. We use a regularized Laplace inversion technique to obtain the estimator of survival probability. A rate of convergence in probability for the integrated squared error (ISE) is derived. Simulation studies are also given to show the finite sample performance of our estimator. (C) 2018 Elsevier B.V. All rights reserved.