Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
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Cites work
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- A note on scale functions and the time value of ruin for Lévy insurance risk processes
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- Asymptotic properties of power variations of Lévy processes
- Asymptotic Statistics
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
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- Estimation of the expected discounted penalty function for Lévy insurance risks
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- Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
- From ruin theory to pricing reset guarantees and perpetual put options
- scientific article; zbMATH DE number 3256930 (Why is no real title available?)
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- Nonparametric adaptive estimation for pure jump Lévy processes
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
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- The perturbed compound Poisson risk model with two-sided jumps
Cited in
(26)- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- The compound Poisson risk model under a mixed dividend strategy
- 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
- Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
- 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
- Threshold estimation for a spectrally negative Lévy process
- Statistical estimation for some dividend problems under the compound Poisson risk model
- Interval estimation of the ruin probability in the classical compound Poisson risk model
- 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
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Probability Density Function of a Non-profit Fund Surplus Under Hysteresis Surplus Control
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
- Computing the Gerber-Shiu function by frame duality projection
- Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
- Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
- Parametric inference for ruin probability in the classical risk model
- Threshold estimation of the Gerber-Shiu function using the Fourier-cosine method in the Wiener-Poisson risk model
- Mortality modeling via vitality: model constructions and actuarial applications
- Nonparametric estimation of some dividend and ruin related functions in a Lévy risk model
- Insurance risk theory and statistical inference: beyond
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