论文标题
频谱为负lévy过程的最佳股息屏障的半参数估计
Semiparametric Estimation of Optimal Dividend Barrier for Spectrally Negative Lévy Process
论文作者
论文摘要
当剩余过程遵循Lévy保险风险过程时，我们将最佳股息障碍的统计估计问题解散。最佳股息障碍定义为最大化所有股息支付现值的期望的障碍水平，直到毁灭。在本文中，根据``准过程''定义了所有股息付款的预期现值的估计值，在``准过程''中，通过将莱维保险风险流程样本路径的缩减来产生样本路径。显示了最佳股息屏障估计器的一致性。此外，在扩散扰动的复合泊松风险模型的情况下，我们的方法进行了数值检查。
We disucss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a Lévy insurance risk process. The optimal dividend barrier is defined as the level of the barrier that maximizes the expectation of the present value of all dividend payments until ruin. In this paper, an estimatior of the expected present value of all dividend payments is defined based on ``quasi-process'' in which sample paths are generated by shuffling increments of a sample path of the Lévy insurance risk process. The consistency of the optimal dividend barrier estimator is shown. Moreover, our approach is examined numerically in the case of the compound Poisson risk model perturbed by diffusion.
