On a nonparametric estimator for the finite time survival probability with zero initial surplus

Abstract

In this paper, we consider the estimation of the finite time survival probability in the classical risk model when the initial surplus is zero. We construct a nonparametric estimator by Fourier inversion and kernel density estimation method. Under some mild assumptions imposed on the kernel, bandwidth and claim size density, we derive the order of the bias and variance, and show that the estimator has asymptotic normality property. Some simulation studies show that the estimator performs quite well in the finite sample setting.