Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
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Publication:2137791
DOI10.1214/22-EJS2003zbMath1493.62165OpenAlexW4226208125MaRDI QIDQ2137791
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-1/Nonparametric-estimation-of-the-expected-discounted-penalty-function-in-the/10.1214/22-EJS2003.full
classical risk modelGerber-Shiu functionFourier inversionLaguerre series expansionnonparametric estimatorrate of estimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)
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