Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus

DOI10.1016/J.INSMATHECO.2017.02.006zbMATH Open1394.62147OpenAlexW2593607540MaRDI QIDQ2397856FDOQ2397856

Authors: Yasutaka Shimizu, Zhimin Zhang 

Publication date: 24 May 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.006

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zbMATH Keywords

estimationGerber-Shiu functionFourier inversion\(L^2\)-consistencyLévy risk model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Title not available (Why is that?)
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Cited In (22)

• Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
• The compound Poisson risk model under a mixed dividend strategy
• Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
• Probability Density Function of a Non-profit Fund Surplus Under Hysteresis Surplus Control
• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• Estimating the time value of ruin in a Lévy risk model under low-frequency observation
• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
• Computing the Gerber-Shiu function by frame duality projection
• Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
• Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
• Statistical estimation for some dividend problems under the compound Poisson risk model
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• Threshold estimation for a spectrally negative Lévy process
• 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
• A new efficient method for estimating the Gerber-Shiu function in the classical risk model
• Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
• Interval estimation of the ruin probability in the classical compound Poisson risk model
• Parametric inference for ruin probability in the classical risk model

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