Estimating the Gerber-Shiu Expected Discounted Penalty Function for Levy Risk Model

被引：10

作者：

Huang, Yujuan ^{[1
]}

Yu, Wenguang ^{[2
]}

Pan, Yu ^{[3
]}

Cui, Chaoran ^{[4
]}

机构：

[1] Shandong Jiaotong Univ, Sch Sci, Jinan 250357, Shandong, Peoples R China

[2] Shandong Univ Finance & Econ, Sch Insurance, Jinan 250014, Shandong, Peoples R China

[3] Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China

[4] Shandong Univ Finance & Econ, Sch Comp Sci & Technol, Jinan 250014, Shandong, Peoples R China

来源：

DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2019年 / 2019卷

基金：

中国国家自然科学基金;

关键词：

PAOLO BOCCONE 1633-1704; NONPARAMETRIC-ESTIMATION; RUIN PROBABILITIES; PROPORTIONAL REINSURANCE; INVESTMENT STRATEGY; TAIL PROBABILITIES; OPTIMAL DIVIDEND; OPTIMALITY; INSURER; TIME;

D O I：

10.1155/2019/3607201

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Levy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points. Using the observed data, the Gerber-Shiu functions are estimated by the Laguerre series expansion method. Consistent properties are studied under the large sample setting, and simulation results are also presented when the sample size is finite.

引用

页数：15

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