（第十四讲本学期最后一讲）
题目： Nonparametric estimate of the ruin probability in a class of Levy risk models
报告人：张志民
重庆大学精算与金融数学系副教授
时间：2012年12月13日(星期四)16:00
地点：数学学院第一教室
摘要：In ruin theory, a lot of approaches have been used to analyze ruin probability in various risk models. However, in practical situations, instead of knowing the specific model one can only obtain the data on the surplus. This motivates us to study the ruin problems by statistical methodology. In this talk, we propose a nonparametric estimator of the ruin probability in a pure-jump Levy risk model. Assume that high-frequency observed data on the aggregate claims process is available. The estimator is based on Pollaczeck-Khinchine formula and Fourier transform. Risk bounds as well as a data-driven cut-off selection methodology are presented. Simulation studies are also given to show the finite sample performance of our estimator.
张春生教授认为，此报告内容不仅为概率和统计方面的师生提供了新科研思路，同时对于即将走上与金融、保险相关岗位的学生也具有重要的参考价值。
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数学院教学办公室
2012年12月5日
