Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
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Cites work
- A bootstrap procedure for estimating the adjustment coefficients
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- A new aspect of a risk process and its statistical inference
- Asymptotic properties of power variations of Lévy processes
- Asymptotic Statistics
- Empirical bounds for ruin probabilities
- Estimation of Dependences Based on Empirical Data
- From ruin theory to pricing reset guarantees and perpetual put options
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Nonparametric estimators for the probability of ruin
- Nonparametric renewal function estimation
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- On Some alternative estimates of the adjustment coefficient in risk theory
- On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
- On the expected discounted penalty function for a perturbed risk process driven by a subordinator
- On the Time Value of Ruin
- Regularized inversion of noisy Laplace transforms
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
Cited in
(32)- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- Estimating the Gerber-Shiu function in the perturbed compound Poisson 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
- Statistical estimation for some dividend problems under the compound Poisson risk model
- 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
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- On a generalization from ruin to default in a Lévy insurance risk model
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Nonparametric estimation of the finite time ruin probability in the classical risk model
- On a nonparametric estimator for ruin probability in the classical risk model
- 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
- Review of statistical actuarial risk modelling
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
- Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
- The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
- Parametric inference for ruin probability in the classical risk model
- Threshold estimation of the Gerber-Shiu function using the Fourier-cosine method in the Wiener-Poisson risk model
- Computing Gerber-Shiu function in the classical risk model with interest using collocation method
- Insurance risk theory and statistical inference: beyond
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