Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model

DOI10.1016/j.spl.2023.109962OpenAlexW4388016025MaRDI QIDQ6152040

Yaodi Yong, Wen Su

Publication date: 12 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109962

zbMATH Keywords

estimationruin probabilityLaguerre series expansionVaR-type ruin measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

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• Optimal investment with a value-at-risk constraint
• Nonparametric estimation in a multiplicative censoring model with symmetric noise
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• A new efficient method for estimating the Gerber–Shiu function in the classical risk model

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