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

摘要

In this paper, we consider the nonparametric estimation of the survival probability for a spectrally negative Lévy 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.