A new efficient method for estimating the Gerber–Shiu function in the classical risk model
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Publication:4583612
DOI10.1080/03461238.2017.1371068zbMath1416.91229OpenAlexW2751784260MaRDI QIDQ4583612
Publication date: 31 August 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2017.1371068
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items (20)
Finite-time ruin probabilities using bivariate Laguerre series ⋮ Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Nonparametric estimation of the expected discounted penalty function in the compound Poisson model ⋮ Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Infinite series expansion of some finite-time dividend and ruin related functions ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ Valuing guaranteed equity-linked contracts by Laguerre series expansion ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ 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 ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
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