Estimation of the expected discounted penalty function for Lévy insurance risks

DOI10.3103/S1066530711020037zbMath1308.62199OpenAlexW3124467522MaRDI QIDQ2261899

Yanyan Li

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

zbMATH Keywords

discrete observationsexpected discounted penalty functionLévy risk processISE-consistencyregularized Laplace inversion

Mathematics Subject Classification ID

Related Items (21)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ 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 ⋮ Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics ⋮ 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 ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Nonparametric estimation of some dividend problems in the perturbed compound Poisson model ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ Unnamed Item ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ Approximation of the ruin probability using the scaled Laplace transform inversion ⋮ Parametric inference for ruin probability in the classical risk model ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

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