Estimation of the expected discounted penalty function for Lévy insurance risks
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Publication:2261899
DOI10.3103/S1066530711020037zbMath1308.62199MaRDI QIDQ2261899
Publication date: 13 March 2015
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3103/s1066530711020037
discrete observations; expected discounted penalty function; Lévy risk process; ISE-consistency; regularized Laplace inversion
60G51: Processes with independent increments; Lévy processes
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
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