Nonparametric Estimation of Ruin Probability by a New Method in the Perturbed Compound Poisson Model

In this paper, we consider the nonparametric estimation of the ruin probability in a compound Poisson risk model perturbed by diffusion. We approximate the ruin probability based on the complex Fourier series expansion (CFS) method, and use a random sample on claim number and individual claim sizes to construct a nonparametric estimator of the ruin probability. We also perform an error analysis of the estimator under a large sample size, and provide simulation results to verify the effectiveness of this estimation method under a finite sample size.