Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
From MaRDI portal
Publication:4577210
DOI10.1080/03461238.2016.1268541zbMATH Open1402.91219OpenAlexW2564008138MaRDI QIDQ4577210FDOQ4577210
Authors: Zhimin Zhang 
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1268541
Recommendations
- Fourier-cosine method for Gerber-Shiu functions
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
- Estimation of a Stieltjes function expanded to Taylor series at complex conjugate points
- scientific article; zbMATH DE number 13283
- Estimate of the approximation of periodic functions by Fourier series
- Sharp bounds on the sinc function via the Fourier series method
- A note on Gerber-Shiu functions with an application
- Approximation by fourier stieltjes series
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cites Work
- Asymptotic Statistics
- Title not available (Why is that?)
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
- Title not available (Why is that?)
- On the Time Value of Ruin
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
- The perturbed compound Poisson risk model with two-sided jumps
- On the discounted distribution functions of the surplus process perturbed by diffusion.
- On the expectations of the present values of the time of ruin perturbed by diffusion.
- Nonparametric estimation of ruin probabilities given a random sample of claims
- On the expected discounted penalty function for a perturbed risk process driven by a subordinator
- Estimation of the expected discounted penalty function for Lévy insurance risks
- On a nonparametric estimator for ruin probability in the classical risk model
- A new aspect of a risk process and its statistical inference
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Semiparametric Estimation for Non-Ruin Probabilities
- On semiparametric estimation of ruin probabilities in the classical risk model
Cited In (20)
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Fourier-cosine method for Gerber-Shiu functions
- Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Moment and polynomial bounds for ruin-related quantities in risk theory
- 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
- Nonparametric estimation for derivatives of compound distribution
- Interval estimation of the ruin probability in the classical compound Poisson risk model
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
This page was built for publication: Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4577210)
