Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model
Joint Authors
Pan, Yu
Cui, Chaoran
Yu, Wenguang
Huang, Yujuan
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-05-02
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model.
Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points.
Using the observed data, the Gerber-Shiu functions are estimated by the Laguerre series expansion method.
Consistent properties are studied under the large sample setting, and simulation results are also presented when the sample size is finite.
American Psychological Association (APA)
Huang, Yujuan& Yu, Wenguang& Pan, Yu& Cui, Chaoran. 2019. Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-15.
https://search.emarefa.net/detail/BIM-1146353
Modern Language Association (MLA)
Huang, Yujuan…[et al.]. Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-15.
https://search.emarefa.net/detail/BIM-1146353
American Medical Association (AMA)
Huang, Yujuan& Yu, Wenguang& Pan, Yu& Cui, Chaoran. Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-15.
https://search.emarefa.net/detail/BIM-1146353
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146353