Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion

DOI10.1016/j.jmaa.2018.09.033zbMath1402.91216OpenAlexW2891979483MaRDI QIDQ1799152

Wen Su, Zhimin Zhang, Yaodi Yong

Publication date: 18 October 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.09.033

zbMATH Keywords

estimationGerber-Shiu functionLaguerre series expansionperturbed compound Poisson model

Mathematics Subject Classification ID

Related Items (9)

Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy ⋮ Valuing guaranteed equity-linked contracts by Laguerre series expansion ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ 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 Finite-Time Gerber--Shiu Functions

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