Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion

DOI10.1016/J.SPL.2018.11.015zbMath1450.62133OpenAlexW2901802161MaRDI QIDQ1726860

Zhimin Zhang, Yang Yang, Wen Su

Publication date: 20 February 2019

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

Full work available at URL: https://doi.org/10.1016/j.spl.2018.11.015

zbMATH Keywords

estimatorclassical risk modeldeficit at ruin

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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