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

DOI10.1080/03461238.2016.1268541zbMath1402.91219OpenAlexW2564008138MaRDI QIDQ4577210

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

Fourier transformestimatorGerber-Shiu functionFourier-Sinc series

Mathematics Subject Classification ID

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

Related Items (16)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ 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 ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Nonparametric estimation of some dividend problems in the perturbed compound Poisson model ⋮ Unnamed Item ⋮ 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 ⋮ 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 Finite-Time Gerber--Shiu Functions ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

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