Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion (Q1624625)

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English	Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion	scientific article

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scholarly article

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Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion (English)

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Journal of Computational and Applied Mathematics

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publication date

16 November 2018

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zbMATH Keywords

Gerber-Shiu function

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estimate

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Lévy risk model

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Laguerre series

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2018.07.003

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On the Time Value of Ruin

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On the last exit times for spectrally negative Lévy processes

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Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes

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Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach

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Optimal dividend problem with a terminal value for spectrally positive Lévy processes

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On optimality of the barrier strategy for a general Lévy risk process

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The Gerber-Shiu expected discounted penalty function for Lévy insurance risk processes

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Gerber-Shiu risk theory

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On semiparametric estimation of ruin probabilities in the classical risk model

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Nonparametric estimation of ruin probabilities given a random sample of claims

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Semiparametric Estimation for Non-Ruin Probabilities

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A new aspect of a risk process and its statistical inference

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On a nonparametric estimator for ruin probability in the classical risk model

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Estimating the Gerber–Shiu function by Fourier–Sinc series expansion

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Nonparametric estimation of the finite time ruin probability in the classical risk model

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Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model

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Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

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Estimation of the expected discounted penalty function for Lévy insurance risks

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Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

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Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus

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Laplace Deconvolution on the Basis of Time Domain Data and its Application to Dynamic Contrast-Enhanced Imaging

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What is a Sobolev space for the Laguerre function systems?

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A new efficient method for estimating the Gerber–Shiu function in the classical risk model

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Adaptive deconvolution of linear functionals on the nonnegative real line

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On The Expected Discounted Penalty function for Lévy Risk Processes

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Nonparametric estimation for pure jump Lévy processes based on high frequency data

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CAM.2018.07.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:1624625

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