Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model
This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points. Using the observed data, the Gerber-Shiu func...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2019-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2019/3607201 |
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| _version_ | 1832564505455886336 |
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| author | Yujuan Huang Wenguang Yu Yu Pan Chaoran Cui |
| author_facet | Yujuan Huang Wenguang Yu Yu Pan Chaoran Cui |
| author_sort | Yujuan Huang |
| collection | DOAJ |
| description | This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points. Using the observed data, the Gerber-Shiu functions are estimated by the Laguerre series expansion method. Consistent properties are studied under the large sample setting, and simulation results are also presented when the sample size is finite. |
| format | Article |
| id | doaj-art-d2b1fd141a3b46dd84f0e164360342e2 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-d2b1fd141a3b46dd84f0e164360342e22025-02-03T01:10:55ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2019-01-01201910.1155/2019/36072013607201Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk ModelYujuan Huang0Wenguang Yu1Yu Pan2Chaoran Cui3School of Science, Shandong Jiaotong University, Jinan, Shandong 250357, ChinaSchool of Insurance, Shandong University of Finance and Economics, Jinan, Shandong 250014, ChinaCollege of Mathematics and Statistics, Chongqing University, Chongqing 401331, ChinaSchool of Computer Science & Technology, Shandong University of Finance and Economics, Jinan, Shandong 250014, ChinaThis paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points. Using the observed data, the Gerber-Shiu functions are estimated by the Laguerre series expansion method. Consistent properties are studied under the large sample setting, and simulation results are also presented when the sample size is finite.http://dx.doi.org/10.1155/2019/3607201 |
| spellingShingle | Yujuan Huang Wenguang Yu Yu Pan Chaoran Cui Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model Discrete Dynamics in Nature and Society |
| title | Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model |
| title_full | Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model |
| title_fullStr | Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model |
| title_full_unstemmed | Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model |
| title_short | Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model |
| title_sort | estimating the gerber shiu expected discounted penalty function for levy risk model |
| url | http://dx.doi.org/10.1155/2019/3607201 |
| work_keys_str_mv | AT yujuanhuang estimatingthegerbershiuexpecteddiscountedpenaltyfunctionforlevyriskmodel AT wenguangyu estimatingthegerbershiuexpecteddiscountedpenaltyfunctionforlevyriskmodel AT yupan estimatingthegerbershiuexpecteddiscountedpenaltyfunctionforlevyriskmodel AT chaorancui estimatingthegerbershiuexpecteddiscountedpenaltyfunctionforlevyriskmodel |