Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model
In this paper, we consider the Wiener−Poisson risk model, which consists of a Wiener process and a compound Poisson process. Given the discrete record of observations, we use a threshold method and a regularized Laplace inversion technique to estimate the survival probability. In addition,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/7/6/506 |