Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model

DOI10.1016/J.SPL.2023.109962OpenAlexW4388016025MaRDI QIDQ6152040FDOQ6152040

Authors: Wen Su, Yaodi Yong 

Publication date: 12 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109962

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zbMATH Keywords

estimationruin probabilityLaguerre series expansionVaR-type ruin measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Cites Work

• Ruin probabilities
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal investment with a value-at-risk constraint
• Nonparametric estimation in a multiplicative censoring model with symmetric noise
• Nonparametric estimation of ruin probabilities given a random sample of claims
• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
• A solution to the ruin problem for Pareto distributions.
• Recovery of ruin probability and value at risk from the scaled Laplace transform inversion
• A new efficient method for estimating the Gerber-Shiu function in the classical risk model

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