Estimating the Gerber–Shiu function by Fourier–Sinc series expansion

DOI10.1080/03461238.2016.1268541MaRDI QIDQ4577210zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

estimatorFourier transformFourier-Sinc seriesGerber-Shiu function

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 435359 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
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• On the Time Value of Ruin
• Semiparametric Estimation for Non-Ruin Probabilities
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The perturbed compound Poisson risk model with two-sided jumps

Cited in

(24)

• 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
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• 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
• Fourier-cosine method for Gerber-Shiu functions
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Nonparametric estimation for derivatives of compound distribution
• Moment and polynomial bounds for ruin-related quantities in risk theory
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• A new efficient method for estimating the Gerber-Shiu function in the classical risk model
• PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
• Fourier-cosine method for finite-time Gerber-Shiu functions
• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• 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
• Threshold estimation of the Gerber-Shiu function using the Fourier-cosine method in the Wiener-Poisson risk model
• Nonparametric estimation of some dividend and ruin related functions in a Lévy risk model
• Computing Gerber-Shiu function in the classical risk model with interest using collocation method
• Insurance risk theory and statistical inference: beyond

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