Seminar on Probability and Statistics

Seminar information archive ~03/29Next seminarFuture seminars 03/30~

Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike


15:00-16:10   Room #118 (Graduate School of Math. Sci. Bldg.)
清水 泰隆 (大阪大学大学院基礎工学研究科)
Functional estimation of L'evy measure for jump-type processes
[ Abstract ]
Recently, stochastic processes with Poissonian jumps are frequently used in finance and insurance. In their applications, it often becomes important to estimate some functionals of integral types with respect to L'evy measures. In this talk, we propose a nonparametric estimator of their functionals based on both continuous and discrete observations. If time permits, we shall also mention the application to the mathematical insurance, in particular, the estimates of ruin probabilities for genelarized risk processes.
[ Reference URL ]