Estimation of the expected discounted penalty function for Lévy insurance risks

DOI10.3103/S1066530711020037zbMath1308.62199OpenAlexW3124467522MaRDI QIDQ2261899

Yanyan Li

Publication date: 13 March 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530711020037

zbMATH Keywords

discrete observationsexpected discounted penalty functionLévy risk processISE-consistencyregularized Laplace inversion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (21)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics ⋮ Estimating the Gerber–Shiu function by Fourier–Sinc series expansion ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Nonparametric estimation of some dividend problems in the perturbed compound Poisson model ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ Unnamed Item ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ Approximation of the ruin probability using the scaled Laplace transform inversion ⋮ Parametric inference for ruin probability in the classical risk model ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

Cites Work

• Unnamed Item
• Nonparametric renewal function estimation
• On the Gerber-Shiu function and change of measure
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• Nonparametric estimators for the probability of ruin
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator
• A new aspect of a risk process and its statistical inference
• Functional estimation for Lévy measures of semimartingales with Poissonian jumps
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Theoretical aspects of ill-posed problems in statistics
• A bootstrap procedure for estimating the adjustment coefficients
• Empirical bounds for ruin probabilities
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• From ruin theory to pricing reset guarantees and perpetual put options
• Regularized inversion of noisy Laplace transforms
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Ruin probabilities and decompositions for general perturbed risk processes.
• Local asymptotic normality of a sequential model for marked point processes and its applications
• Empirical Laplace transform and approximation of compound distributions
• On Some alternative estimates of the adjustment coefficient in risk theory
• Asymptotic Statistics
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• A risk model driven by Lévy processes
• Asymptotic properties of power variations of Lévy processes
• On the Time Value of Ruin
• A decomposition of the ruin probability for the risk process perturbed by diffusion

This page was built for publication: Estimation of the expected discounted penalty function for Lévy insurance risks