Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income

الملخص EN

In this paper, we consider the compound Poisson risk model with stochastic premium income.

We propose a new estimation of Gerber-Shiu function by an efficient method: Fourier-cosine series expansion.

We show that the estimator is easily computed and has a fast convergence rate.

Some simulation examples are illustrated to show that the estimation has a good performance when the sample size is finite.