Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income (Q2296513)
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scientific article; zbMATH DE number 7168942
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| English | Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income |
scientific article; zbMATH DE number 7168942 |
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Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income (English)
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18 February 2020
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Summary: 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.
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