Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of risk and financial management : JRFM 13 (2020) 12/298, pp. 1-12
In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density...
