Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income
Joint Authors
Wang, Yunyun
Yu, Wenguang
Huang, Yujuan
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-18, 18 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-07-07
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Abstract 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.
American Psychological Association (APA)
Wang, Yunyun& Yu, Wenguang& Huang, Yujuan. 2019. Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-18.
https://search.emarefa.net/detail/BIM-1146418
Modern Language Association (MLA)
Wang, Yunyun…[et al.]. Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-18.
https://search.emarefa.net/detail/BIM-1146418
American Medical Association (AMA)
Wang, Yunyun& Yu, Wenguang& Huang, Yujuan. Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-18.
https://search.emarefa.net/detail/BIM-1146418
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146418
