Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
From MaRDI portal
Publication:1799152
DOI10.1016/J.JMAA.2018.09.033zbMATH Open1402.91216OpenAlexW2891979483MaRDI QIDQ1799152FDOQ1799152
Authors: Wen Su, Yaodi Yong, Zhimin Zhang 
Publication date: 18 October 2018
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.09.033
Recommendations
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
Nonparametric estimation (62G05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Ruin probabilities
- Title not available (Why is that?)
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
- Title not available (Why is that?)
- On the Time Value of Ruin
- Risk theory for the compound Poisson process that is perturbed by diffusion
- What is a Sobolev space for the Laguerre function systems?
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- Adaptive deconvolution of linear functionals on the nonnegative real line
- On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
- Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
- Exit problems for jump processes with applications to dividend problems
- The perturbed compound Poisson risk model with two-sided jumps
- On the discounted distribution functions of the surplus process perturbed by diffusion.
- On the expectations of the present values of the time of ruin perturbed by diffusion.
- Nonparametric estimation in a multiplicative censoring model with symmetric noise
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Toeplitz matrices, asymptotic linear algebra and functional analysis
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
- Estimation of the expected discounted penalty function for Lévy insurance risks
- On a nonparametric estimator for ruin probability in the classical risk model
- A new aspect of a risk process and its statistical inference
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- The perturbed compound Poisson risk process with investment and debit interest
- Laplace deconvolution on the basis of time domain data and its application to dynamic contrast-enhanced imaging
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Nonparametric estimation of the finite time ruin probability in the classical risk model
- Semiparametric Estimation for Non-Ruin Probabilities
- On semiparametric estimation of ruin probabilities in the classical risk model
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
Cited In (16)
- Title not available (Why is that?)
- Solving the finite-time ruin problems by Laguerre series expansion
- On an insurance ruin model with a causal dependence structure and perturbation
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Moment and polynomial bounds for ruin-related quantities in risk theory
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- 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
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
This page was built for publication: Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1799152)
