A new aspect of a risk process and its statistical inference

DOI10.1016/j.insmatheco.2008.10.002zbMath1156.91402OpenAlexW2049808886MaRDI QIDQ1003819

Yasutaka Shimizu

Publication date: 4 March 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.10.002

zbMATH Keywords

discrete observationsstatistical inferencerisk processadjustment coefficientsdiffusion perturbations

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (18)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ 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 ⋮ 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 ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ Parametric inference for ruin probability in the classical risk model ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Review of statistical actuarial risk modelling ⋮ Functional sensitivity analysis of ruin probability in the classical risk models ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Aspects of risk theory
• Ruin probabilities in perturbed risk models
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• A Practical Inference for Discretely Observed Jump-diffusions from Finite Samples
• Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
• Asymptotic Statistics
• Ruin estimation for a general insurance risk model
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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