Nonparametric estimation of the expected discounted penalty function in the compound Poisson model

DOI10.1214/22-EJS2003MaRDI QIDQ2137791zbMATH OpenOpenAlexFDO

Authors Florian Dussap

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

zbMATH Keywords

classical risk modelFourier inversionGerber-Shiu functionLaguerre series expansionnonparametric estimatorrate of estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

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• What is a Sobolev space for the Laguerre function systems?

Cited in

(3)

• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• scientific article; zbMATH DE number 6531215 (Why is no real title available?)
• Segmentation of the Poisson and negative binomial rate models: a penalized estimator

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